Illustrates the term serial autocorrelation

Illustrates the term serial autocorrelation?

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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.

1086_Serial autocorrelation.png


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.

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