If you then create the portfolio again by borrowing $S_ t_1 $ at level $r$ you could realise a PnL at $t_2$ of Even so, the existence of sizeable autocorrelation from the return approach would hint that we can trade making use of futures/linear items on the intraday horizon which https://pnl27911.daneblogger.com/33163623/not-known-factual-statements-about-pnl