SSRNTrading, Microstructure & Execution
Daily mean Reversion in Global Equity Indices: Serial Dependence, Tail Risk, and Exploitation
Systematic trading strategies exploiting significant negative autocorrelation across six major equity indices achieve a pooled Sharpe ratio of 1.640 with regime filtering and downside-risk controls over 2002-2026.
Featured in No. 137 on 30 Oct 2026 · 3 days after release
- Released
- 27 Oct 2026
- First featured
- No. 137 · 30 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 2 of 5
- Identifier
- SSRN 7663278
- Authors
- Giovanni Bertola
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).