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Mean Reversion
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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. Also called Ornstein-Uhlenbeck Process, Red Noise. See also Auto-Regressive Moving Average (ARMA) Models, Volatility Auto Regressive Integrated Moving Average (VARIMA) Model, Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH) Model.
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