April 2019
Intermediate to advanced
426 pages
11h 13m
English
Content preview from Mastering Python for Finance - Second Edition
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Designing the mean-reversion algorithm
Suppose we believe that in normal market conditions, prices fluctuate, but tend to revert back to some short-term level, such as the average of the most recent prices. In this example, we assume that the EUR/USD currency pair is exhibiting a mean-reversion property in the near short-term period. First, we resample the raw tick-level data into standard time series intervals, for example, at one-minute intervals. Then, taking a number of the most recent periods for calculating the short-term average price (for example, with five periods), we are saying that we believe the EUR/USD prices will revert toward the average of the prior five minutes' prices.
As soon as the bidding price of the EUR/USD currency ...
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