Financial correlations at ultra-high frequency: theoretical models and empirical estimation |
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| Authors: | I Mastromatteo M Marsili P Zoi |
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| Institution: | (1) Laboratoire de Physique Théorique, CNRS-UMR5152, Université Paul Sabatier, 31062 Toulouse, France;(2) Theoretische Physik, Universität des Saarlandes, 66041 Saarbrücken, Germany |
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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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