---
title: Daily mean Reversion in Global Equity Indices: Serial Dependence, Tail Risk, and Exploitation
url: https://www.ml-quant.com/papers/ssrn/7663278/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-10-30
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 7663278
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7663278
featured: 2026-10-30
citations: unknown
topic: Trading, 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7663278
- Identifier: SSRN 7663278
- Released: 2026-10-27
- First featured: Quant Letter No. 137 (2026-10-30): https://www.ml-quant.com/issues/2026-10-30/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Trading, Microstructure & Execution
- Authors: Giovanni Bertola

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