Mean Reversion and Statistical Arbitrage › Quiz

Michael BrenndoerferDecember 27, 20251 min read
Quantitative FinanceAll chapters
Part 11 of 15Quantitative Trading Strategies
Chapter 60Mean Reversion and Statistical Arbitrage › Quiz
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Mean Reversion and Statistical Arbitrage

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In the Ornstein-Uhlenbeck process dXt=κ(μ−Xt)dt+σdWtdX_t=\kappa(\mu-X_t)dt+\sigma{dW_t}, what does the parameter κ\kappa control?