6035统计简单数值题short
Half-Life of a Mean-Reverting Spread
题目
A residual spread follows X_(t+1) = 0.8 X_t + epsilon_(t+1) with zero-mean shocks. In trading days, what is the half-life of mean reversion, i.e. the horizon h at which the expected residual has decayed to half its current value?
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