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Quantitative Finance · शब्दावली

Non-synchronous trading, Epps effect क्या है?

अन्य नाम: non-synchronous trading · Epps effect

Definition 21.7 Quantitative Methods · अध्याय 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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