Financial correlations at ultra-high frequency: theoretical models and empirical estimation

A detailed analysis of correlation between stock returns at high frequency is compared with simple models of random walks. We focus in particular on the dependence of correlations on time scales – the so-called Epps effect. This provides a characterization of stochastic models of stock price returns which is appropriate at very high frequency. Copyright EDP Sciences, SIF, Springer-Verlag Berlin Heidelberg 2011

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Year of publication:	2011
Authors:	Mastromatteo, I. ; Marsili, M. ; Zoi, P.
Published in:	The European Physical Journal B - Condensed Matter and Complex Systems. - Springer. - Vol. 80.2011, 2, p. 243-253
Publisher:	Springer

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009282918