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YouTube T1-4 What is Autocorrelation (and how does it impact scaled volatility)?

Nicole Seaman

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Autocorrelation is a correlation of variable (eg, returns) with itself over time; it is a violation of returns. Positive autocorrelation increases scaled volatility, while negative autocorrelation (aka, mean reversion) decreases scaled volatility.

Here is David's XLS: http://trtl.bz/2wSpHrG


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