Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
979546 | Physica A: Statistical Mechanics and its Applications | 2007 | 5 Pages |
Abstract
The Epps effect, the decrease of correlations between stock returns for short time windows, was traced back to the trading asynchronicity and to the occasional lead-lag relation between the prices. We study pairs of stocks where the latter is negligible and confirm the importance of asynchronicity but point out that alone these aspects are insufficient to give account for the whole effect.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Bence Tóth, János Kertész,