Over any longer time period, You can find not often a statistically important autocorrelation in large frequency returns. If there was, then the above would be applicable which might dampen the result. $begingroup$ For an alternative with rate $C$, the P$&$L, with respect to improvements of the underlying asset rate https://gregorymquwa.prublogger.com/33232213/the-best-side-of-pnl