Financial correlations at ultra-high frequency: theoretical models and empirical estimation
SISSA, Via Beirut 2-4, 34014 Trieste, Italy
2 The Abdus Salam International Centre for Theoretical Physics, Strada Costiera 11, 34014 Trieste, Italy
3 Risk & Capital Management, Assicurazioni Generali, Piazza Duca degli Abruzzi 2, 34132 Trieste, Italy
Revised: 14 January 2011
Published online: 16 March 2011
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.
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2011