https://doi.org/10.1140/epjb/e2011-10865-y
Financial correlations at ultra-high frequency: theoretical models and empirical estimation
1
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
Received:
10
November
2010
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
