Recently in an International conference named Int.Conf on Financial markets and Corporate finance organized by IIT - Madras, i have been given the chance to be a discussant of a research paper. The paper titled "Range based Mean reversion" dealt with the limitations of available mean reversion ratios like Variance Ratio and drafted a new measure named "Expected lifetime range ratio" and claimed superior to variance ratio. It was interesting to find such attempts. What is your opinion about this?
I cannot comment on the superiority. But rescaled range analysis and Hurst component is often used in Financial Market
Thanks a lot Mousumi Bhattacharya. Will go through Rescaled range analysis and get back to you. Do you have any literature review associated with that technique ?
You can go through
Rescaled Range Analysis and Detrended Fluctuation
Analysis: Finite Sample Properties and Confidence
Intervals
Thank you Mousumi Bhattacharya. Will go through the paper and get back to you.
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