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

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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.

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Authors and Affiliations

  1. SISSA, Via Beirut 2-4, 34014, Trieste, Italy

    I. Mastromatteo

  2. The Abdus Salam International Centre for Theoretical Physics, Strada Costiera 11, 34014, Trieste, Italy

    M. Marsili

  3. Risk & Capital Management, Assicurazioni Generali, Piazza Duca degli Abruzzi 2, 34132, Trieste, Italy

    P. Zoi

Authors
  1. I. Mastromatteo
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  2. M. Marsili
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  3. P. Zoi
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Mastromatteo, I., Marsili, M. & Zoi, P. Financial correlations at ultra-high frequency: theoretical models and empirical estimation. Eur. Phys. J. B 80, 243–253 (2011). https://doi.org/10.1140/epjb/e2011-10865-y

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  • DOI: https://doi.org/10.1140/epjb/e2011-10865-y

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