Definition of autocorrelation function
: 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
