Financial correlations at ultra-high frequency: theoretical models and empirical estimation
Trading and Market Microstructure
2015-05-20 v2
Abstract
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.
Keywords
Cite
@article{arxiv.1011.1011,
title = {Financial correlations at ultra-high frequency: theoretical models and empirical estimation},
author = {Iacopo Mastromatteo and Matteo Marsili and Patrick Zoi},
journal= {arXiv preprint arXiv:1011.1011},
year = {2015}
}
Comments
22 pages, 8 figures, 1 table, version to appear in EPJ B