Abstract
We are back again confronted with a major issue: can we really infer from the past prices something about the future prices? Is there some insurance policy we may subscribe on this subject?
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Notes
- 1.
In the two worksheets, the correlation coefficient is first calculated using an Excel formula, then it is tested using the formula \( \rho = {{{{\sigma_{XY}}}} \left/ {{\left( {{\sigma_X}{\sigma_Y}} \right)}} \right.} \).
- 2.
We have used the test already used for the same purpose.
Reference
Spiegel MR (1975) Probability and statistics. McGraw-Hill, New York
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© 2013 Springer-Verlag Italia
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Di Lorenzo, R. (2013). Autocorrelation. In: Trading Systems. Perspectives in Business Culture. Springer, Milano. https://doi.org/10.1007/978-88-470-2706-0_7
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DOI: https://doi.org/10.1007/978-88-470-2706-0_7
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