The Quant Journey
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The Quant Journey

Ornstein Uhlenbeck Mean Reversion Process

Ornstein — Uhlenbeck Process — From Wikipedia, the free encyclopedia

The Ornstein–Uhlenbeck process is one of several approaches used to model interest rates, currency exchange rates, and commodity prices stochastically.

The Parameters:

  • W is a Brownian Motion
  • µ represents the equilibrium or long-term mean value.
  • σ represents the degree of volatility around it caused by shocks.

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This is a repository of information regarding everything quantitative. I am building my knowledge as I go, therefore this is a journey for both me as a contributor and you as a reader as we venture in to the world of mathematics, programming, statistics, finance and business.

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Andrea Chello

Andrea Chello

Quant | Full-Stack Blockchain Developer

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