
> 

> 
> Hi, all, 
> 
> I'm looking for  some model for financial prices that can incorporate random walk and mean reversion. possible candicates include geometric O-U process, the question is how to 
> calibrate a geometric O-U process to historical data (I have seen the calibration of O-U, but it's not the same for geometric OU) ? the second question  is when people model mean reversion, they sometimes  fit O-U process to data , however, since most of financial time series are nonstationary (with unit root), how can it be possible to fit a stationary model like OU to nonstationary processes? in particular, when they estimate it, they simply regress delta Xt on Xt which is essentially a linear regression of a stationary process on nonstationary one, what is the rational for this? am I missing sth here? 
> 
> Thanks! 
> Paul Jin 
> 
> 

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