dorsal/arxiv
View SchemaOn the origin of the Epps effect
| Authors | Bence Toth, Janos Kertesz |
|---|---|
| Categories | |
| ArXiv ID | physics/0701110 |
| URL | https://arxiv.org/abs/physics/0701110 |
| DOI | 10.1016/j.physa.2007.04.111 |
| Journal | Physica A 383(1), 54-58 (2007) |
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.
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"abstract": "The Epps effect, the decrease of correlations between stock returns for short\ntime windows, was traced back to the trading asynchronicity and to the\noccasional lead-lag relation between the prices. We study pairs of stocks where\nthe latter is negligible and confirm the importance of asynchronicity but point\nout that alone these aspects are insufficient to give account for the whole\neffect.",
"arxiv_id": "physics/0701110",
"authors": [
"Bence Toth",
"Janos Kertesz"
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"doi": "10.1016/j.physa.2007.04.111",
"journal_ref": "Physica A 383(1), 54-58 (2007)",
"title": "On the origin of the Epps effect",
"url": "https://arxiv.org/abs/physics/0701110"
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