Illustrates the term serial autocorrelation
Illustrates the term serial autocorrelation?
Expert
Positive SAC is quite like trend following, negative Serial autocorrelation is quite like profit taking. (We use ‘quite like’ since technically speaking trending is, within stochastic differential equation terms, the function of the development or dt term, while SAC is in the random term.) The current level has been seen before, in the untimely thirties, mid of 1960s and late of 1980s. Remember what we have plotted here is an extremely simplistic.
Figure: The 252-day rolling Serial autocorrelation, with a lag of one day, for the Dow Jones Industrial index.
Serial autocorrelation measures only a moving window and with all the well-known faults. All the analysis could be improved upon dramatically, other than the consequences would not change.
What is the Efficient Markets Hypothesis?
Suppose spot Swiss franc is $0.7000 and the six-month forward rate is $0.6950. Estimate the minimum price which a six-month American put option along with a striking price of $0.6800 must sell for in a rational market? Suppose the annualized six-month Eurodo
Can a company have a default rate on its accounts receivable that is very low?
what are the factors resposible for the recent surge in international portfolio investment?
Why do you think closed-end country funds frequently trade at a premium or discount?CECFs trade at premium or discount since capital markets of the home & host countries are segmented, preventing cross-border arbitrage. If cross-border arbit
State the term Calibration in financial model?
Describe criteria for a ‘good' international monetary system.A good international monetary system have to provide (I) adequate liquidity to the world economy, (ii) s
How is gamma measure the rehedged position?
What are the reasons that Inventory is sometimes thought of as a needed evil.
What is implied volatility? Answer: Implied volatility is number into the Black–Scholes formula which makes a theoretical price equal a market price.
18,76,764
1939182 Asked
3,689
Active Tutors
1427013
Questions Answered
Start Excelling in your courses, Ask an Expert and get answers for your homework and assignments!!