llxx

june2009 Wrote:
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> just a refresher on something i had way wrong.
>
> Quant. AR models
>
> intercept/(1-slope) = mean reverting level.
>
> Anytime the current level is ABOVE the mean
> reverting level, you should expect the next value
> to be below the last value.

If you are asking for confirmation, then that is correct.

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