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Quantitative Finance · Glossary

What is Non-synchronous trading, Epps effect?

Also known as: non-synchronous trading · Epps effect

Definition 21.7 Quantitative Methods · Chapter 21 — High-Frequency Econometrics

Non-synchronous trading is the observation of different assets at different, random times. The Epps effect (Epps, 1979) is the resulting fall of realised correlation toward zero as the sampling interval shortens: with previous-tick sampling on a fine grid, most intervals contain a price change of one asset and none of the other.

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