December 2018
Beginner to intermediate
684 pages
21h 9m
English
Content preview from Hands-On Machine Learning for Algorithmic Trading
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How to measure autocorrelation
Autocorrelation (also called serial correlation) adapts the concept of correlation to the time series context: just as the correlation coefficient measures the strength of a linear relationship between two variables, the autocorrelation coefficient, ρk, measures the extent of a linear relationship between time series values separated by a given lag, k:
Hence, we can calculate one autocorrelation coefficient for each of the T-1 lags in a time series; T is the length of the series. The autocorrelation function (ACF) computes the correlation coefficients as a function of the lag.
The autocorrelation for a lag larger ...
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