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mean reversion - extracting factors with maximum explanatory power

An adaptation of research paper to identify factors with maximum explanatory power

  • After extracting factors, I digress from paper and use simple regression to identify betas.
  • Optimize portfolio such that beta exposure is zero to get a mean reverting series.
  • 15 days out of sample.

Look forward to your feedback.

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1 response

Slightly modified version (using betas as described in paper) and a few corrections.

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