Mean Revertion in Stock Processes

[diegosanaz]

Hello,

I would like to model under P the movement of a stock. I have as a hypothesis that the stocks are mean reverting; however, the mean revertion level varies randomly through time.

Has anyone encountered any model that follows the description above? I could just come up with something myself I guess, but it would be nice if someone in academic literature has already done something similar.

Thanks!

 

[Ken Abbott]

Hello,

I would like to model under P the movement of a stock. I have as a hypothesis that the stocks are mean reverting; however, the mean revertion level varies randomly through time.

Has anyone encountered any model that follows the description above? I could just come up with something myself I guess, but it would be nice if someone in academic literature has already done something similar.

Thanks!

I did some work on this. PM me and I will send it. I can also send a sample spreadsheet. I teach part-time and it's a homework I often assign.

 

[Philip_Mitterrand]

refer carol alexander's volume 2. she has the formula for that capturing the rate of mean reversion with a constant drift component