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

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  • Iacopo Mastromatteo
  • Matteo Marsili
  • Patrick 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.

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    File URL: http://arxiv.org/pdf/1011.1011
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1011.1011.

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    Date of creation: Nov 2010
    Date of revision: Feb 2011
    Handle: RePEc:arx:papers:1011.1011

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    Web page: http://arxiv.org/

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    1. Andrew W. Lo & A. Craig MacKinlay, 1991. "An Econometric Analysis of Nonsynchronous Trading," NBER Working Papers 2960, National Bureau of Economic Research, Inc.
    2. Zhang, Lan, 2011. "Estimating covariation: Epps effect, microstructure noise," Journal of Econometrics, Elsevier, Elsevier, vol. 160(1), pages 33-47, January.
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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, Elsevier, vol. 36(8), pages 1142-1161.

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