2 papers
q-fin.ST2024
Detecting discrete processes with the Epps effect
Patrick Chang, Etienne Pienaar, Tim Gebbie
The Epps effect is key phenomenology relating to high frequency correlation dynamics in financial markets. We argue that it can be used to provide insight into whether tick data is…
q-fin.PM2024
Geometric insights into robust portfolio construction
Lara Dalmeyer, Tim Gebbie
We investigate and extend the result that an alpha-weight angle from unconstrained quadratic portfolio optimisations has an upper bound dependent on the condition number of the cov…