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A few word about stochasticity of EUR/USD time series

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16th June 2011, 20:18

ryaron

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A few word about stochasticity of EUR/USD time series

If the time series of EUR/USD is purely stochastic then the autocorrelation function of it should oscillate about the zero value. For a random process signals should be uncorrelated.

However it is not:
It definitely has the value 1 at tau=0 and decreases as the delay increases:

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