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

I. Mastromatteo, M. Marsili and P. Zoi

The European Physical Journal B: Condensed Matter and Complex Systems, 2011, vol. 80, issue 2, 243-253

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. Copyright EDP Sciences, SIF, Springer-Verlag Berlin Heidelberg 2011

Date: 2011
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DOI: 10.1140/epjb/e2011-10865-y

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