c**********e
发帖数: 2007 | 1 a time series of stock price, what will result in the autocorrelation if the
series is actually uncorrelated?
Anybody has any idea? Thanks a ton. |
c*********g
发帖数: 154 | 2 hmm, never thought of that before.
but you can use Newey-West method to detect autocorrelation. Well, i shouldn
't use the word "detect". It is actually just hypothesis testing |
l****o
发帖数: 2909 | 3 如果含有noise，然后noise互相correlated，而真实的signal互相不correlated？ |
s*******r
发帖数: 60 | 4
the
I think in the case the two time series are nonstationary.
You need do the differencing to make the series stationary in order to make
them uncorrelated.
【在 c**********e 的大作中提到】
: a time series of stock price, what will result in the autocorrelation if the
: series is actually uncorrelated?
: Anybody has any idea? Thanks a ton.
|
k*****o
发帖数: 1972 | 5 我做过这曲线，
如果是没有关联的话
auto对时间作图，
会是这样的：
很快从最高点drop到零，或者是负数，然后在y=0的地方无规则的跳跃，或者就近似于y
=0这曲线
the
【在 c**********e 的大作中提到】
: a time series of stock price, what will result in the autocorrelation if the
: series is actually uncorrelated?
: Anybody has any idea? Thanks a ton.
|
A********a
发帖数: 133 | 6 I guess u mean returns are auto-correlated.
One possible scenario is due to illiquidity, for example, some stocks may
not be actively traded, new information about it may take a few hours (days,
months) to realize those new info, the return series of such stock may have
positive correlation.
Another possibility is managers of the firms may massage profits/returns to make them more smooth.
Both illiquidity and return smoothness contribute to positive auto-
correlation in hedge fund returns, See C |
