MÜNNIX, MICHAEL C.; SCHÄFER, RUDI; GUHR, THOMAS - In: International Journal of Theoretical and Applied … 14 (2011) 08, pp. 1231-1246
We present two statistical causes for the distortion of correlations on high-frequency financial data. We demonstrate that the asynchrony of trades as well as the decimalization of stock prices has a large impact on the decline of the correlation coefficients towards smaller return intervals...