A test of human intuition for mean-reverting processes

#1

Post by microprediction » Tue, Oct 19, 2021, 3:53 AM UTC

Re: A test of human intuition for mean-reverting processes

#2

Post by microprediction » Tue, Oct 19, 2021, 3:53 AM UTC

You are asked one mathematically subtle question about mean-reverting processes.

Results will be part of a submitted academic paper. Thanks to all who participate.

#3

Post by gus_massa » Tue, Oct 19, 2021, 4:32 AM UTC

I'm not sure what is your intended audience. I have no ideas what is a "exponentiated mean-reverting Brownian motion" and I have a PhD in Math.

I have a few ideas of what it could be, mostly because I took a few Physics classes, and I'm trying to match the possible models to the graphs.

You should give a minimal explanation of what is the undelaying model, and also make the question more clear, super clear, it's not clear enough.

[spoiler alert] I don't understand why 9 is an obvious bad answer, but perhaps the problem is that I'm using a bad model. Can I google it?