dorsal/arxiv
View SchemaIncreasing market efficiency: Evolution of cross-correlations of stock returns
| Authors | Bence Toth, Janos Kertesz |
|---|---|
| Categories | |
| ArXiv ID | physics/0506071 |
| URL | https://arxiv.org/abs/physics/0506071 |
| DOI | 10.1016/j.physa.2005.06.058 |
| Journal | Physica A 360, 505-515 (2006) |
Abstract
We analyse the temporal changes in the cross correlations of returns on the New York Stock Exchange. We show that lead-lag relationships between daily returns of stocks vanished in less than twenty years. We have found that even for high frequency data the asymmetry of time dependent cross-correlation functions has a decreasing tendency, the position of their peaks are shifted towards the origin while these peaks become sharper and higher, resulting in a diminution of the Epps effect. All these findings indicate that the market becomes increasingly efficient.
{
"annotation_id": "66f84efd-72cc-43e7-95ca-f2336892894f",
"date_created": "2026-03-02T18:01:00.404000Z",
"date_modified": "2026-03-02T18:01:00.404000Z",
"file_hash": "2411f3e499ada986b32559642c0cec2b23641095a689c20acbb1506131fe743d",
"private": false,
"record": {
"abstract": "We analyse the temporal changes in the cross correlations of returns on the\nNew York Stock Exchange. We show that lead-lag relationships between daily\nreturns of stocks vanished in less than twenty years. We have found that even\nfor high frequency data the asymmetry of time dependent cross-correlation\nfunctions has a decreasing tendency, the position of their peaks are shifted\ntowards the origin while these peaks become sharper and higher, resulting in a\ndiminution of the Epps effect. All these findings indicate that the market\nbecomes increasingly efficient.",
"arxiv_id": "physics/0506071",
"authors": [
"Bence Toth",
"Janos Kertesz"
],
"categories": [
"physics.soc-ph",
"q-fin.ST"
],
"doi": "10.1016/j.physa.2005.06.058",
"journal_ref": "Physica A 360, 505-515 (2006)",
"title": "Increasing market efficiency: Evolution of cross-correlations of stock returns",
"url": "https://arxiv.org/abs/physics/0506071"
},
"schema_id": "dorsal/arxiv",
"source": {
"execution_id": "7301d672-5a72-4920-9fb5-1767d0a0d75f",
"id": "arXiv Dataset IDs",
"type": "Model",
"variant": "snapshot-2026-03-01",
"version": "0.1.0"
},
"user_id": 1000002
}