Sometimes I need a little longer, sorry for that. But mean reversion can be tricky and I'm interested in understanding your derivation.
Suppose you have a set of today's prices Pt, and a set of yesterday's price Py. By definition, half the prices from Pt are below the median and half are above the median; same for Py.
You are talking of 2 sets of prices Pt/Py like in bars of today/yesterday and there are 2 medians, one for the set Pt and one for the set Py?
Now combine the two sets to a 2 dimensional set of vectors with coordinates (Pt,Py).
Combining arbitrarily or each one of Pt with each one of Py?
Thanks, Sphin
