Math in finance or vice versa

Archive for June 16th, 2011

Is EUR/USD mean reverting?

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Nassim Taleb in his book “Dynamic Hedging” provides an empirical rule to validate if the market has mean reversion tendency. It states that if volatility lowers if the longer time frame is used, then the mean reversion takes place.
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Written by fxpaul

June 16, 2011 at 20:52

Posted in trading math