Tag Archives: autocorrelation

3 × 3 × 3 × 3 × 3 × 3 × 3 × 3 × 3 × 3 × 3 × 3 × 3 … modulo 89 An application of group theory to Navy sonar — can you generate a sequence whose 1-differences are … Continue reading

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Autocorrelation

A “truly” random, uniform random, completely random sequence might look like ◯◯⨯◯⨯⨯⨯⨯◯◯⨯◯◯⨯⨯◯⨯◯◯⨯⨯◯⨯⨯◯⨯◯◯⨯◯R code: > xooooo = sample( c(“◯”, “⨯”) , 30, rep = T)  like the flips of a fair coin. But there are other “random”s as well. Biased For example, … Continue reading

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The VIX has a daily autocorrelation of −.04, a weekly autocorrelation of −.21, and a monthly autocorrelation of −.12. Euan Sinclair, Volatility Trading

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