| 释义 |
- References
In econometrics and time series analysis, the Epps effect, named after T. W. Epps, is the phenomenon that the empirical correlation between the returns of two different stocks decreases with the length of the interval for which the price changes are measured. The phenomenon is caused by non-synchronous/asynchronous trading [1] and discretization effects.[2] However, a current study shows that the effect originates in investors' herd behaviour.[3]References1. ^Epps, T.W. (1979) Comovements in Stock Prices in the Very Short Run, Journal of the American Statistical Association, 74, 291–298. [https://www.jstor.org/stable/2286325 jstor]
2. ^M. C. Münnix et al (2010) Impact of the tick-size on financial returns and correlations, Physica A, 389 (21) 4828–4843. [https://arxiv.org/abs/1001.5124 arxiv]
3. ^http://iopscience.iop.org/1367-2630/16/5/053040 - Modelling the short term herding behaviour of stock markets
{{statistics-stub}} 1 : Multivariate time series |