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Quant analytics:I am been working on various mean reverting or “inside tunnel” trading model for recent low vol market

(Last Updated On: June 1, 2011)

I am been working on various mean reverting or “inside tunnel” trading model for recent low vol market, however, none of them work nicely, any fresh idea to brain storm for discuss?


Take a look at thishttp://en.wikipedia.org/wiki/Ornstein%E2%80%93Uhlenbeck_process .

Hope it helps.

i guess esp in mean reverting in low vol it wont work and voltility is diff to gauge
mean reverting desnt work in low volatility as we take fixed period means and as day passes by we add new day price and take out the 1st price —–so it wont work in case of low volatility

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Take a look at Perry Kaufman’s new book “Alpha Trading”.
Is anyone else aware of any other text ( or academic paper ) about mean reverting strategies ?

Before proceeding with the discussion/advice could you please give us a hint about the instruments and timeframes/resolution/scale you’re attempting to trade?

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