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Medium · time_series · Quant Researcher interview question · mean_reversion, half_life, ols, pairs_trading, time_series
The Ornstein-Uhlenbeck process models mean-reverting time series, but its parameters can be estimated using a simpler OLS regression approach. By regressing the changes in a price series against its lagged values, one can extract a mean-reversion speed coefficient. This coefficient is used to calculate the series' half-life, a critical metric in statistical arbitrage for determining trade holding periods and risk. Task Implement the function mean_reversion_halflife(prices: list) -> float to est