48 citations · 116 across the 6 of their papers we have counts for
4 papers · 1 filter
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…