21 citations · 40 across the 3 of their papers we have counts for
3 papers
physics.data-an2008★ 10 cited
Accurate estimator of correlations between asynchronous signals
Bence Toth, Janos Kertesz
The estimation of the correlation between time series is often hampered by the asynchronicity of the signals. Cumulating data within a time window suppresses this source of noise b…
q-fin.TR2007★ 9 cited
The value of information in financial markets: An agent-based simulation
Bence Toth, Enrico Scalas
We present results on simulations of a stock market with heterogeneous, cumulative information setup. We find a non-monotonic behaviour of traders' returns as a function of their i…
physics.soc-ph2007★ 21 cited
On the origin of the Epps effect
Bence Toth, Janos Kertesz
The Epps effect, the decrease of correlations between stock returns for short time windows, was traced back to the trading asynchronicity and to the occasional lead-lag relation be…