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

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  • I. Mastromatteo
  • M. Marsili
  • P. Zoi
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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. Copyright EDP Sciences, SIF, Springer-Verlag Berlin Heidelberg 2011

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    File URL: http://hdl.handle.net/10.1140/epjb/e2011-10865-y
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    Bibliographic Info

    Article provided by Springer in its journal The European Physical Journal B.

    Volume (Year): 80 (2011)
    Issue (Month): 2 (March)
    Pages: 243-253

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    Handle: RePEc:spr:eurphb:v:80:y:2011:i:2:p:243-253

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    Web page: http://www.springer.com/economics/journal/10051

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    Cited by:
    1. Andre Cardoso Barato & Iacopo Mastromatteo & Marco Bardoscia & Matteo Marsili, 2011. "Impact of meta-order in the Minority Game," Papers 1112.3908, arXiv.org, revised Nov 2012.
    2. Anufriev, Mikhail & Bottazzi, Giulio & Marsili, Matteo & Pin, Paolo, 2012. "Excess covariance and dynamic instability in a multi-asset model," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1142-1161.

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