平均回帰とは？
平均回帰 A statistical theory stating that asset prices and historical returns eventually move back toward the mean or average level. Widely used in quantitative investment and risk models.
Source: CFA Institute, IFRS Foundation, FASB (GAAP), Basel III Framework
How is “平均回帰” Used in Practice?
クオンツ戦略は平均回帰を利用して平均からの乖離を取引しアルファを生む。
Certification Exam Relevance
Who Needs to Know This Term?
- Financial Analysts
- Bankers
- Traders
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平均回帰とは？
A statistical theory stating that asset prices and historical returns eventually move back toward the mean or average level. Widely used in quantitative investment and risk models.
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