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标题: CFAI BK.1, RD13, Q6 [打印本页]

作者: morebeans 时间: 2011-7-11 19:25 标题: CFAI BK.1, RD13, Q6

CFAI Book 1, RD. 13, PG. 453, Q.6

Why do they use a plus(+) sign in the mean-reverting formula and not a minus(-) sign?

作者: xilige 时间: 2011-7-11 19:25

I assume you're talking about the double negative?

= b0/(1-b1)

Mean reverting level = -0.0405/ (1- (-0.4674)) = -0.0405/ (1 + 0.4674) = -0.0276

作者: chaojimali 时间: 2011-7-11 19:25

Thanks, just another one of my stupid mistakes...leaving out a minus sign.

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