Financial correlations at ultra-high frequency: Theoretical models and empirical estimation

European Physical Journal B

Volumn 80, Issue 2, 2011, Pages 243-253

  Mastromatteo, I ^a   Marsili, M ^b   Zoi, P ^c  

^a SISSA   (Italy)

^b ABDUS SALAM INTERNATIONAL CENTRE FOR THEORETICAL PHYSICS   (Italy)

^c Assicurazioni Generali SpA   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

EPPS EFFECT; HIGH FREQUENCY; RANDOM WALK; STOCK PRICE; STOCK RETURNS; THEORETICAL MODELS; TIME-SCALES; ULTRA-HIGH FREQUENCY; VERY HIGH FREQUENCY;

FREQUENCY ESTIMATION;

STOCHASTIC MODELS;

EID: 79955828782     PISSN: 14346028     EISSN: 14346036     Source Type: Journal    
DOI: 10.1140/epjb/e2011-10865-y     Document Type: Article

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