{"paper":{"title":"Mean-Reversion and Optimization","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.PM","authors_text":"Zura Kakushadze","submitted_at":"2014-08-10T12:11:38Z","abstract_excerpt":"The purpose of these notes is to provide a systematic quantitative framework - in what is intended to be a \"pedagogical\" fashion - for discussing mean-reversion and optimization. We start with pair trading and add complexity by following the sequence \"mean-reversion via demeaning -> regression -> weighted regression -> (constrained) optimization -> factor models\". We discuss in detail how to do mean-reversion based on this approach, including common pitfalls encountered in practical applications, such as the difference between maximizing the Sharpe ratio and minimizing an objective function wh"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1408.2217","kind":"arxiv","version":3},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}