Corpus ID: 237563167

Trading styles and long-run variance of asset prices

@inproceedings{Middleton2021TradingSA,
  title={Trading styles and long-run variance of asset prices},
  author={Lawrence Middleton and James L. Dodd and Simone Rijavec},
  year={2021}
}
Trading styles can be classified into either trend-following or mean-reverting. If the net trading style is trend-following the traded asset is more likely to move in the same direction it moved previously (the opposite is true if the net style is mean-reverting). The result of this is to introduce positive (or negative) correlations into the time series. We here explore the effect of these correlations on the long-run variance of the series through probabilistic models designed to explicitly… Expand

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