On the origin of the Epps effect
物理与社会
2009-01-11 v3 统计金融
摘要
The Epps effect, the decrease of correlations between stock returns for short time windows, was traced back to the trading asynchronicity and to the occasional lead-lag relation between the prices. We study pairs of stocks where the latter is negligible and confirm the importance of asynchronicity but point out that alone these aspects are insufficient to give account for the whole effect.
引用
@article{arxiv.physics/0701110,
title = {On the origin of the Epps effect},
author = {Bence Toth and Janos Kertesz},
journal= {arXiv preprint arXiv:physics/0701110},
year = {2009}
}
备注
7 pages, 4 figures; to appear in the Proceedings of Econophysics Colloquium 2006 References added