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Quantitative Finance Volume 9, 2009 - Issue 7
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Research Papers

The Epps effect revisited

Bence Tóth ISI Foundation, Viale S. Severo 65, I-10133 Torino, Italy; Department of Theoretical Physics, Budapest University of Technology and Economics, Budafoki út. 8, H-1111 Budapest, HungaryCorrespondence[email protected]
&
János Kertész Department of Theoretical Physics, Budapest University of Technology and Economics, Budafoki út. 8, H-1111 Budapest, Hungary; Laboratory of Computational Engineering, Helsinki University of Technology, P.O. Box 9203, FI-02015, Finland
Pages 793-802 | Received 10 Apr 2007, Accepted 17 Oct 2008, Published online: 12 Oct 2009

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Rama Cont, Mihai Cucuringu & Chao Zhang. (2023) Cross-impact of order flow imbalance in equity markets. Quantitative Finance 23:10, pages 1373-1393.
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Yongli Li, Chao Liu, Tianchen Wang & Baiqing Sun. (2021) Dynamic patterns of daily lead-lag networks in stock markets. Quantitative Finance 21:12, pages 2055-2068.
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Chester Curme, Michele Tumminello, Rosario N. Mantegna, H. Eugene Stanley & Dror Y. Kenett. (2015) Emergence of statistically validated financial intraday lead-lag relationships. Quantitative Finance 15:8, pages 1375-1386.
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Frédéric Abergel & Mauro Politi. (2013) Optimizing a basket against the efficient market hypothesis. Quantitative Finance 13:1, pages 13-23.
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Nicolas Huth & Frédéric Abergel. (2012) The times change: multivariate subordination. Empirical facts. Quantitative Finance 12:1, pages 1-10.
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Zdzisław Burda, Andrzej Jarosz, Maciej A. Nowak, Jerzy Jurkiewicz, Gábor Papp & Ismail Zahed. (2011) Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case. Quantitative Finance 11:7, pages 1103-1124.
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