%0 Book Section %1 statphys23_0440 %A Toth, B. %A Kertesz, J. %B Abstract Book of the XXIII IUPAP International Conference on Statistical Physics %C Genova, Italy %D 2007 %E Pietronero, Luciano %E Loreto, Vittorio %E Zapperi, Stefano %K correlations effect epps financial market microstructure statphys23 topic-11 %T The Epps effect revisited %U http://st23.statphys23.org/webservices/abstract/preview_pop.php?ID_PAPER=440 %X We analyse the dependence of stock return cross-correlations on the sampling frequency of the data known as the Epps effect: For high resolution data the correlations are significantly smaller than their asymptotic value as observed on daily data. We demonstrate the deficiencies of the existing description and give a relation between correlations on different time scales. After testing our method on a model of generated random walk price changes we justify our analytical results by fitting the correlation curves of real world data. Our results indicate that the Epps phenomenon is a product of the finite time decay of lagged correlations of high resolution data, which does not scale with activity. The characteristic time is due to a human time scale, the time needed to react to news.

@incollection{statphys23_0440, abstract = {We analyse the dependence of stock return cross-correlations on the sampling frequency of the data known as the Epps effect: For high resolution data the correlations are significantly smaller than their asymptotic value as observed on daily data. We demonstrate the deficiencies of the existing description and give a relation between correlations on different time scales. After testing our method on a model of generated random walk price changes we justify our analytical results by fitting the correlation curves of real world data. Our results indicate that the Epps phenomenon is a product of the finite time decay of lagged correlations of high resolution data, which does not scale with activity. The characteristic time is due to a human time scale, the time needed to react to news.}, added-at = {2007-06-20T10:16:09.000+0200}, address = {Genova, Italy}, author = {Toth, B. and Kertesz, J.}, biburl = {https://www.bibsonomy.org/bibtex/2ab64fd9ed99eeed764f5eab6e8deec97/statphys23}, booktitle = {Abstract Book of the XXIII IUPAP International Conference on Statistical Physics}, editor = {Pietronero, Luciano and Loreto, Vittorio and Zapperi, Stefano}, interhash = {f54ba3b318cfe28409162dad280067bc}, intrahash = {ab64fd9ed99eeed764f5eab6e8deec97}, keywords = {correlations effect epps financial market microstructure statphys23 topic-11}, month = {9-13 July}, timestamp = {2007-06-20T10:16:20.000+0200}, title = {The Epps effect revisited}, url = {http://st23.statphys23.org/webservices/abstract/preview_pop.php?ID_PAPER=440}, year = 2007 }