Abstract We propose a new measure of risk called the expected lifetime range (ELR) ratio, based on high and low prices. We point out that it becomes possible for us to uncover the evidence of mean reversion based on the new ELR ratio even when the classic Lo and MacKinlay (LM) (1988) statistic does not detect the same. We work with a moving average MA (1) model with MA parameter θ to make our point. Our empirical study on the Indian stock market shows that ELR ratio is able to detect mean reversion even when LM statistic does not.

中文翻译：

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基于范围的均值回归检测新方法

摘要我们提出了一种基于高低价格的新的风险衡量标准，称为预期寿命范围（ELR）比。我们指出，即使经典的Lo和MacKinlay（LM）（1988）统计量未检测到同样的情况，也有可能发现基于新ELR比率的均值回归的证据。我们使用移动平均MA（1）模型和MA参数θ来得出结论。我们对印度股票市场的实证研究表明，即使LM统计量没有，ELR比率也能够检测均值回归。