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

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.

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

References in corpus (7)

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• Impact of the tick-size on financial returns and correlations
• The Epps effect revisited
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Cited by in corpus (6)

• Impact of meta-order in the Minority Game
• The Epps effect under alternative sampling schemes
• Malliavin-Mancino estimators implemented with non-uniform fast Fourier transforms
• Linear processes in high-dimension: phase space and critical properties
• Fourier instantaneous estimators and the Epps effect
• Detecting discrete processes with the Epps effect