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I am data mining/number crunching thru a lot of spreads and I would like
to minimize the amount of charts that I would end up looking at. I am
comfortable with spreads that oscillate around a mean, which is flat -
thus mean reverting. Is there a nice way to tell programatically whether
if a time series is mean reverting or not? I was thinking of running
linear regression and rank the spreads according to the slope (flatter the
better), error with respect to calculated slope (even if it has a nice
flat slope does not mean that it oscillates around it) and standard
deviation (to see how spread apart the deviation is). This seems a very
convoluted and processor intensive way to me and wanted to know if there
is a simpler way of doing this.
Any suggestions are welcome at: kozo.morimoto@xxxxxxxxxxxxxxxxxxxxx
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