#time-series

08 July 2026 · 9 min
Autocorrelation in Financial Time Series
Autocorrelation and partial autocorrelation for a stationary series, the Bartlett sampling law behind the Ljung-Box test, and the mirror-image bid-ask and stale-price mechanisms that force short-lag return autocorrelation negative or positive.
08 July 2026 · 9 min
Autoregressive Models
The autoregressive model, its stationarity from the characteristic-polynomial roots, the Yule-Walker link between coefficients and autocorrelations, geometric and cyclical decay in AR(1) and AR(2), and the Ornstein-Uhlenbeck process as its continuous limit.