Using Autocorrelation to Evaluate Investments Autocorrelation can serve as a valuable tool for evaluating the behavior of investment returns over time.

The plot below shows the autocorrelation (ACF) and partial autocorrelation (PACF) functions of VXX returns. It’s interesting to note that VXX returns are positively auto-correlated at 3-day lag.

We present a complete analysis of the weak limit behaviour of the sample autocovariance and autocorrelation functions of (Xt), (|Xt|) and (Xt 2). The results in this paper can be seen as a natural ...

In one common example, when a stock exhibits strong positive autocorrelation it suggests that past performance trends tend to persist. In this case, momentum-based strategies, such as trend ...

In this paper a single 'unified' method is presented, based on the computation of autocorrelation functions and a completely parametric representation of the various components in the flow model. This ...

Neglecting the temporal correlations replaces the original, temporally structured spike autocorrelation function with that of a Poisson spike train.