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The European Physical Journal B

, Volume 80, Issue 2, pp 243–253 | Cite as

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

  • I. Mastromatteo
  • M. Marsili
  • P. Zoi
Article

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.

Keywords

Multivariate Time Series Epps Traded Asset Financial Correlation Asynchronous Process 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© EDP Sciences, SIF, Springer-Verlag Berlin Heidelberg 2011

Authors and Affiliations

  • I. Mastromatteo
    • 1
  • M. Marsili
    • 2
  • P. Zoi
    • 3
  1. 1.SISSA, Via Beirut 2-4TriesteItaly
  2. 2.The Abdus Salam International Centre for Theoretical Physics, Strada Costiera 11TriesteItaly
  3. 3.Risk & Capital Management, Assicurazioni Generali, Piazza Duca degli Abruzzi 2TriesteItaly

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