autocorrelation function

noun

: a function that describes the autocorrelation of a quantity being continuously measured and that indicates the periodicity of the quantity

Financial prices tend to be well approximated by the 'random walk'. The random walk never forgets. Every change is permanent. Changes are not reversed. The autocorrelation function of percentage changes (i.e. returns) shows near-zero values for autocorrelations.

—Ajay Shah, The Financial Express, 8 Feb. 2010

Word History

First Known Use

1933, in the meaning defined above

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