Microstructure Reversion Speed
Quick Reference
| Property | Value |
|---|---|
| Dimension | regime |
| Category | mean_reversion |
| Version | v0.9.0 (Beta) |
| Output Column | reversion_speed |
Microstructure reversion speed - measures how quickly price deviations decay back toward equilibrium
Formula
linear_regression_slope((price - fair_value), window)
Market Data Model Inputs
| Column | Market Data Model Table | Description |
|---|---|---|
price | cdm_* | Market Data Model source table |
fair_value | cdm_* | Market Data Model source table |
Parameters
| Parameter | Type | Default | Description |
|---|---|---|---|
window | integer [5, 1000] | 100 | Window for reversion slope estimation |
Output
Column: reversion_speed
Estimated speed of mean reversion (higher = faster reversion)
Market Intuition & Trading Rationale
Microstructure reversion speed measures how quickly price deviations decay: linear_regression_slope(price - fair_value, window). A steep negative slope means price is rapidly returning to fair value — strong mean reversion. A flat or positive slope means the deviation is persisting or growing — weak or no mean reversion. This is the continuous counterpart to ou_mean_reversion_half_life — speed measures the rate, half-life measures the duration.
Usage Cases
- Reversion strategy parameterization: Fast reversion (steep negative slope) → use aggressive entries, tight stops. Slow reversion (flat slope) → use patient entries, wider stops.
- Regime assessment: Reversion speed declining toward zero → the market is becoming less mean-reverting, potentially entering a trending regime.
YAML Definition
name: microstructure_reversion_speed
description: Microstructure reversion speed - measures how quickly price deviations
decay back toward equilibrium
category: mean_reversion
version: v0.9.0 (Beta)
dimension: regime
status: Pre-release
required_inputs:
- price
- fair_value
output_column: reversion_speed
output_description: Estimated speed of mean reversion (higher = faster reversion)
parameters:
window:
type: integer
description: Window for reversion slope estimation
required: false
default: 100
constraints:
min: 5
max: 1000
formula: linear_regression_slope((price - fair_value), window)