Autocorrelation

Views

Podcast: Piterbarg and Nowaczyk on running better backtests

Quants discuss new way to extract independent samples from correlated datasets

25 Oct 2024

Investing

How ‘re-correlation’ risk could cause a pod-shop unwind

22 Apr 2024

Investments

Optimal turnover, liquidity and autocorrelation

26 May 2022

Original research

The value-at-risk of time-series momentum and contrarian trading strategies

04 Oct 2021

Investments

Stay ahead of the fixing lag

The price of fund-linked derivatives depends on the fixing lag of the underlying funds

25 Nov 2019

Original research

A test for the equality of multiple Sharpe ratios

30 Apr 2014

Exchange-traded products

Exchange-traded fund pair-trading strategies using autocorrelation-based mean reversion

ETF pair-trading strategies using autocorrelation-based mean reversion

17 Oct 2013

Operational risk

Using a time series approach to correct serial correlation in operational risk capital calculation

30 Sep 2013

Structured products

Momentum trading: ’skews me

Momentum trading: ’skews me

26 Jul 2012

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