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Trends and reversion in financial markets on time scales from minutes to decades

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  • Safari, Sara A.
  • Schmidhuber, Christof

Abstract

We empirically analyze the reversion of financial market trends with time horizons ranging from minutes to decades. The analysis covers equities, interest rates, currencies and commodities and combines 14 years of futures tick data, 30 years of daily futures prices, 330 years of monthly asset prices, and yearly financial data since medieval times.

Suggested Citation

  • Safari, Sara A. & Schmidhuber, Christof, 2025. "Trends and reversion in financial markets on time scales from minutes to decades," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 675(C).
    • Handle: RePEc:eee:phsmap:v:675:y:2025:i:c:s0378437125004480
    DOI: 10.1016/j.physa.2025.130796
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    References listed on IDEAS

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