Asymmetry of cross correlations between intra-day and overnight volatilities

Rubina Zadourian and Peter Grassberger

Papers from arXiv.org

Abstract: We point out a stunning time asymmetry in the short time cross correlations between intra-day and overnight volatilities (absolute values of log-returns of stock prices). While overnight volatility is significantly (and positively) correlated with the intra-day volatility during the \textit{following} day (allowing thus non-trivial predictions), it is much less correlated with the intra-day volatility during the \textit{preceding} day. While the effect is not unexpected in view of previous observations, its robustness and extreme simplicity are remarkable.

Date: 2015-09
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1509.08079 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1509.08079

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().