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By half-life, do you mean the speed of mean-reversion?<BR>
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If so, there's a bit of algebraic tomfoolery that's required to discretise the equation and then fit the data to it. I don't have the time right now to go into all the details but it's not hard- you can parameterise the process using simple linear regression. If you need help with that I'll try and get back to you tonight about it.<BR>
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On Tue, 2010-10-12 at 13:47 +1100, Stephen Choularton wrote:<BR>
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Hi<BR>
<BR>
Wonder if anyone could point me how I use this method to discover the half life of a mean reverting process. <BR>
<BR>
I am looking into pair trading and the time it takes for a cointegrated pair to revert to the norm.
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-- <BR>
Stephen Choularton Ph.D., FIoD<BR>
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9999 2226<BR>
0413 545 182<BR>
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for insurance go to <A HREF="http://www.netinsure.com.au">www.netinsure.com.au</A><BR>
for markets go to <A HREF="http://www.organicfoodmarkets.com.au">www.organicfoodmarkets.com.au</A><BR>
<BR>
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