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

  • Iacopo Mastromatteo
  • Matteo Marsili
  • Patrick Zoi
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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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    File URL: http://arxiv.org/pdf/1011.1011
    File Function: Latest version
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    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
    Contact details of provider: Web page: http://arxiv.org/

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    1. Andrew W. Lo & Craig A. MacKinlay, . "An Econometric Analysis of Nonsyschronous-Trading," Rodney L. White Center for Financial Research Working Papers 19-89, Wharton School Rodney L. White Center for Financial Research.
    2. Zhang, Lan, 2011. "Estimating covariation: Epps effect, microstructure noise," Journal of Econometrics, Elsevier, vol. 160(1), pages 33-47, January.
    3. Kondor, Imre & Pafka, Szilard & Nagy, Gabor, 2007. "Noise sensitivity of portfolio selection under various risk measures," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1545-1573, May.
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