c**********e
发帖数: 2007 | 1 You have a time series of stock price. What will result in the
auto-correlation if the series is actually uncorrelated? | t********a
发帖数: 810 | | c**********e
发帖数: 2007 | | J*****n
发帖数: 4859 | 4
market micro-structure noisy.
【在 c**********e 的大作中提到】
: You have a time series of stock price. What will result in the
: auto-correlation if the series is actually uncorrelated?
| l****n
发帖数: 43 | | M*****y
发帖数: 666 | 6 i think whether it means ..
stock price is not stationary (unit root)
so you have to make it as yield rate log(Sn/Sn-1), then uncorrelated
haha, looks dumb
【在 c**********e 的大作中提到】
: You have a time series of stock price. What will result in the
: auto-correlation if the series is actually uncorrelated?
|
|
