Financial correlations at ultra-high frequency: theoretical models and empirical estimation
classification
💱 q-fin.TR
keywords
frequencymodelscorrelationshighreturnsstockanalysisappropriate
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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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