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


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

2011-03

AUTHORS

I. Mastromatteo, M. Marsili, P. Zoi

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. More... »

PAGES

243-253

References to SciGraph publications

Identifiers

URI

http://scigraph.springernature.com/pub.10.1140/epjb/e2011-10865-y

DOI

http://dx.doi.org/10.1140/epjb/e2011-10865-y

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1009911088


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