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arXiv · 1011.1011

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

Iacopo Mastromatteo·Matteo Marsili·Patrick Zoi
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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.

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Iacopo Mastromatteo, Matteo Marsili, Patrick Zoi. 2011-02-02. Financial correlations at ultra-high frequency: theoretical models and empirical estimation. https://doi.org/10.1140/epjb%2Fe2011-10865-y

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