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arXiv · 1509.08079

Asymmetry of cross correlations between intra-day and overnight volatilities

Rubina Zadourian·Peter Grassberger
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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.

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Rubina Zadourian, Peter Grassberger. 2015-09-27. Asymmetry of cross correlations between intra-day and overnight volatilities. https://arxiv.org/abs/1509.08079

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