Positive autocorrelation implies that negative price changes are followed by positive price changes.

Question

Quizplus · Accepted Answer

Autocorrelation measures the magnitude of dependence of price changes on previous observations in a time series.For example,if a time series is constant,such that the value of one observation can be completely predicted by its previous value,then the autocorrelation estimate would be exactly one.Positive autocorrelation implies that price changes are followed by price changes of the same direction.Negative autocorrelation implies that price changes are followed by price changes of the opposite direction.

Positive Autocorrelation Implies That Negative Price Changes Are Followed by Positive