NO.PZ2018122701000053
问题如下：
The long-term mean of the correlation data is 35%. In January 2014, the averaged correlation of the 30 × 30 Dow correlation matrices was 27%.From the regression function from 1972 to 2012, the average mean reversion was 77.5%. Using the simple s(t) - s(t-1) = alpha × [μ - s(t - 1)] model, what is the expected correlation for February 2014?
选项：
A.27.75%
B.28.80%
C.33.20%
D.37.50%
解释：
C is correct.
考点Some Correlation Basics
解析33.20% = 27.0% + 77.5% × (35.0% - 27.0%)
之前老师说过，au+(1-a)St-1=St， 1-a小于0是mean reverting, 但这里的计算实际上au才是mean reverting, 这两项有点混淆，老师可以再明确一下两个term的内涵么，谢谢！
