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均值回歸 (Mean Reversion)

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发表于 2012-3-13 11:41 PM | 显示全部楼层 |阅读模式


本帖最后由 snowrider 于 2012-3-13 23:42 编辑

http://www.investopedia.com/terms/m/meanreversion.asp
"A theory suggesting that prices and returns eventually move back towards the mean or average."

http://en.wikipedia.org/wiki/Mean_reversion_(finance)
"Mean reversion involves first identifying the trading range for a stock, and then computing the average price using analytical techniques as it relates to assets, earnings, etc.  When the current market price is less than the average price, the stock is considered attractive for purchase, with the expectation that the price will rise. When the current market price is above the average price, the market price is expected to fall. In other words, deviations from the average price are expected to revert to the average."
 楼主| 发表于 2012-3-16 09:15 AM | 显示全部楼层
當超買或超賣時 市場將做自我調整以回歸到正常均值 那什麼是或哪裡是均值呢?
均值的界定可以有N多種 -
以波浪理論來說均值是調整浪
以禪論來說均值是中樞
以移動平均線來說 均值可以有 加權 普通 或 各種加權的衍伸
以指標來說 均值 可以是 RSI KD% ... etc.
以FA來說 均值 更複雜了 計算每股均值的 book value, earning, cash flow, ... tons of them
同學想到了來加一些 ...
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