48 citations · 116 across the 6 of their papers we have counts for
7 papers
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…
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…
Modeling the Epps effect of cross correlations in asset prices
Bence Toth, Balint Toth, Janos Kertesz
We review the decomposition method of stock return cross-correlations, presented previously for studying the dependence of the correlation coefficient on the resolution of data (Ep…
The Epps effect revisited
Bence Toth, Janos Kertesz
We analyse the dependence of stock return cross-correlations on the sampling frequency of the data known as the Epps effect: For high resolution data the cross-correlations are sig…
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…
The value of information in a multi-agent market model
Bence Toth, Enrico Scalas, Juergen Huber +1
We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on t…