Add to ORKGAbstract. 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. 1
This paper analyses multivariate high frequency financial data using realised covariation. We provid...
The impact of asynchronous trading on Epps effect. Comparative study on Warsaw Stock Exchange and Vi...
We compare the Malliavin-Mancino and Cuchiero-Teichmann Fourier instantaneous estimators to investig...
A detailed analysis of correlation between stock returns at high frequency is compared with simple m...
We analyse the dependence of stock return cross-correlations on the data sampling frequency, known a...
International audienceMany statistical arbitrage strategies, such as pair trading or basket trading,...
International audienceMany statistical arbitrage strategies, such as pair trading or basket trading,...
International audienceMany statistical arbitrage strategies, such as pair trading or basket trading,...
We present two statistical causes for the distortion of correlations on high-frequency financial dat...
We review the decomposition method of stock return cross-correlations, presented previously for stud...
In addressing the question of the time scales characteristic for the market formation, we analyze hi...
It is commonly believed that the correlations between stock returns increase in high volatility peri...
We introduce a new method for quantifying pattern-based complex short-time correlations of a time se...
We introduce a new method for quantifying pattern-based complex short-time correlations of a time se...
This paper analyses multivariate high frequency financial data using realised covariation. We provid...
This paper analyses multivariate high frequency financial data using realised covariation. We provid...
The impact of asynchronous trading on Epps effect. Comparative study on Warsaw Stock Exchange and Vi...
We compare the Malliavin-Mancino and Cuchiero-Teichmann Fourier instantaneous estimators to investig...
A detailed analysis of correlation between stock returns at high frequency is compared with simple m...
We analyse the dependence of stock return cross-correlations on the data sampling frequency, known a...
International audienceMany statistical arbitrage strategies, such as pair trading or basket trading,...
International audienceMany statistical arbitrage strategies, such as pair trading or basket trading,...
International audienceMany statistical arbitrage strategies, such as pair trading or basket trading,...
We present two statistical causes for the distortion of correlations on high-frequency financial dat...
We review the decomposition method of stock return cross-correlations, presented previously for stud...
In addressing the question of the time scales characteristic for the market formation, we analyze hi...
It is commonly believed that the correlations between stock returns increase in high volatility peri...
We introduce a new method for quantifying pattern-based complex short-time correlations of a time se...
We introduce a new method for quantifying pattern-based complex short-time correlations of a time se...
This paper analyses multivariate high frequency financial data using realised covariation. We provid...
This paper analyses multivariate high frequency financial data using realised covariation. We provid...
The impact of asynchronous trading on Epps effect. Comparative study on Warsaw Stock Exchange and Vi...
We compare the Malliavin-Mancino and Cuchiero-Teichmann Fourier instantaneous estimators to investig...