A process shows mean reversion when its drift pulls it toward a level. The Ornstein–Uhlenbeck process is the Gaussian case , . The half-life of a mean-reverting process is the time after which the expected deviation from the level has halved.
Quantitative Finance · Glosarium
Apa itu Mean reversion, Ornstein–Uhlenbeck process, half-life?
Dikenal juga sebagai: mean reversion · Ornstein--Uhlenbeck process · half-life