Tóth, Bence; Kertész, János - In: Physica A: Statistical Mechanics and its Applications 383 (2007) 1, pp. 54-58
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...