We analyse the dependence of stock return cross-correlations on the data sampling frequency, known as the Epps effect: for high-resolution data the cross-correlations are significantly smaller than their asymptotic value as observed for daily data. The former description implies that a changing...

In this work we detail the application of a fast convolution algorithm to compute high-dimensional integrals in the context of multiplicative noise stochastic processes. The algorithm provides a numerical solution to the problem of characterizing conditional probability density functions at...