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Transportation Research Part A, ISSN 0965-8564, 12/2019, Volume 130, pp. 517 - 528
The paper discusses the value of flexibility in light of transportation industry characteristics. High flexibility in utilising or adjusting capacity typically... 
Mean reversion | Transportation | Equilibrium derivative pricing
Journal Article
Southern economic journal, ISSN 0038-4038, 07/2011, Volume 78, Issue 1, pp. 107 - 130
We investigate the measured persistence in the real interest rate using a variety of methods to annualize inflation and calculate the real rate. Results from a... 
Mean reversion
Journal Article
Applied Financial Economics, ISSN 0960-3107, 03/2009, Volume 19, Issue 5, pp. 347 - 355
We utilize the nonlinear unit root tests proposed by Park and Shintani (2005) and find strong evidence of nonlinear mean reversion between a US stock index and... 
Mean reversion
Journal Article
Stochastic Processes and their Applications, ISSN 0304-4149, 06/2019
Journal Article
Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, 12/2019, Volume 536, p. 120949
In this paper, we consider both momentum and reversal in the original Anticor algorithm and propose a new online portfolio selection algorithm named the... 
Online portfolio selection | Mean aversion | Anti-correlation | Kalman Filter | Mean reversion | Wavelet de-noise
Journal Article
Economics of Transition, ISSN 0967-0750, 10/2018, Volume 26, Issue 4, pp. 769 - 800
We look at the growth experience of 25 transition countries over the 25 years since the dissolution of the USSR. The initial collapse in income was much more... 
economic crisis | mean reversion | comparative performance | Growth | transition countries
Journal Article
Finance Research Letters, ISSN 1544-6123, 10/2019, p. 101309
Journal Article
Journal of Physics A: Mathematical and Theoretical, ISSN 1751-8113, 01/2019, Volume 52, Issue 8, p. 85002
The Fokker-Planck equation is a key ingredient of many models in physics, and related subjects, and arises in a diverse array of settings. Analytical solutions... 
Fokker–Planck equation | Mean reversion | Stochastic processes | mean reversion | PHYSICS, MULTIDISCIPLINARY | STATISTICS | DIFFUSION | Fokker-Planck equation | stochastic processes | PHYSICS, MATHEMATICAL
Journal Article
11/2008
This thesis has applied the theory of real options to study forestry investment decision-making under stochastic timber prices. Suitable models have been... 
mean reversion | stochastic trend | forestry investments | jumps | Real options | stochastic timber prices
Dissertation
AIP Conference Proceedings, ISSN 0094-243X, 03/2017, Volume 1827, Issue 1
It has been claimed in many literatures that the prices of some agriculture commodities tend to follow mean reversion. However, when dealing with the prices of... 
Multi-asset options | Jump Diffusion | Agriculture Commodity | Mean-Reversion
Journal Article
Journal of Business Research, ISSN 0148-2963, 03/2018, Volume 84, pp. 100 - 113
This paper explores how variables measuring firms' sustainable competitive advantages influence profitability persistence. Using a large sample of firms from... 
Competitive advantage | Barriers-to-entry | Sustained market share | Return on assets | Sustained competitive advantage | Mean reversion | INDUSTRY | DETERMINANTS | PERFORMANCE | INFORMATION | EARNINGS | BUSINESS | MARKET-STRUCTURE | INCOME
Journal Article
Journal of Economic Dynamics and Control, ISSN 0165-1889, 06/2018, Volume 91, pp. 441 - 457
To capture the well documented time series momentum and reversal in asset price, we develop a continuous-time asset price model, derive the optimal investment... 
Reversal | Momentum | Optimal asset allocation | Performance | MEAN REVERSION | EXPECTED RETURNS | BUSINESS-CYCLE | PRICES | STOCK-MARKET | ECONOMICS | CONSUMPTION | Analysis | Business schools
Journal Article
Resources Policy, ISSN 0301-4207, 2018
Meeting investment and operating goals with presence of different sources of uncertainties and operational constraints is critical for a successful underground... 
Mean reversion process | Geometric Brownian motion | Frobenius distance | Multi-objective iterated greedy algorithm | Production planning, uncertainty
Journal Article
Journal of Scientific Computing, ISSN 0885-7474, 05/2018, Volume 75, Issue 2, pp. 1156 - 1186
To access, purchase, authenticate, or subscribe to the full-text of this article, please visit this link: http://dx.doi.org/10.1007/s10915-017-0578-5 
and l | Sparse estimation | Convergence trading | norms | Mean reversion | Investment analysis | Securities trading | Algorithms | Methods
Journal Article
European Journal of Operational Research, ISSN 0377-2217, 09/2015, Volume 245, Issue 2, pp. 571 - 580
This paper examines variance swap pricing using a model that integrates three major features of financial assets, namely the mean reversion in asset price,... 
Multi-factor stochastic volatility | Mean reversion | Jump diffusion | Pricing | Variance swap | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | OPTIONS | Discrete-time systems | Analysis
Journal Article
Economics of Transition, ISSN 0967-0750, 10/2018, Volume 26, Issue 4, pp. 769 - 800
We look at the growth experience of 25 transition countries over the 25 years since the dissolution of the USSR. The initial collapse in income was much more... 
economic crisis | mean reversion | comparative performance | Growth | transition countries | Growth models | Transition economies
Journal Article
Studies in Nonlinear Dynamics & Econometrics, ISSN 1558-3708, 09/2008, Volume 12, Issue 3, p. 8
Abstract Using self-exciting threshold autoregressive models, we explore the validity of the law of one price (LOOP) for sixteen sectors in nine European... 
Law of one price | Thresholds | Mean reversion | Nonlinearities
Journal Article
Chaos, Solitons and Fractals: the interdisciplinary journal of Nonlinear Science, and Nonequilibrium and Complex Phenomena, ISSN 0960-0779, 09/2018, Volume 114, pp. 130 - 144
A three factor variance model introduced by Gatheral in 2008, called the double mean reverting (DMR) model, is well-known to reflect the empirical dynamics of... 
Characteristic function | Double mean reversion | Gatheral model | Heston model | Variance swap | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | PHYSICS, MULTIDISCIPLINARY | CLOSED-FORM SOLUTION | STOCHASTIC VOLATILITY | MODEL | OPTIONS | PHYSICS, MATHEMATICAL
Journal Article
ACM Computing Surveys (CSUR), ISSN 0360-0300, 01/2014, Volume 46, Issue 3, pp. 1 - 36
Journal Article
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