Tendency of a quantity to evolve towards a long term average.
According to this principle, prices, rates, and volatilities fluctuate around their average value after reaching their extremes.
The name given diverse processes by which variables such as prices, rates, and volatilities tend to return to a mean or average value after reaching extremes.
The mathematical premise that all prices will eventually move back towards the mean or average return.
Is the postulate that short term rates or volatilities will move toward longer term averages.
the process in which prices constantly revert over time to an equilibrium level. A concept much discussed with reference to the hotly debated topic of how to price forward power in a deregulated market.
The notion that an asset's value reverts to an average or equilibrium value. If an asset's price is above its equilibrium value, the presumption of mean reversion is that the asset's price will eventually decline to its equilibrium value. Similarly, if the price is below its equilibrium value, the presumption is that the asset's price will eventually rise to its equilibrium value.
The tendency of an investment class to alternate periods of above-average returns with periods of below-average returns.
The statistical tendency in a time series to gravitate back toward a long-term historical level. This is on a much longer scale than another similar measure, called "autocorrelation"; these two behaviors are mathematically independent of one another.
The principle that over a sustained period of time, the market price of a security will revert back to its mean level.
A tendency for a stochastic variable to drift toward a long-term mean level.
A situation whereby widening spreads, for example an intra-commodity spread, reverts back towards an average.