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

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

2010-11-03

arxiv.org/abs/1011.1011v2

Economy

Quantitative Finance

Trading and Market Microstructure

22 pages, 8 figures, 1 table, version to appear in EPJ B

Scientific paper

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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