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The Epps effect revisited |
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| Authors: | Bence Tóth János Kertész |
| Affiliation: | 1. ISI Foundation , Viale S. Severo 65, I-10133 Torino, Italy;2. Department of Theoretical Physics , Budapest University of Technology and Economics , Budafoki út. 8, H-1111 Budapest, Hungary bence@maxwell.phy.bme.hu;4. Department of Theoretical Physics , Budapest University of Technology and Economics , Budafoki út. 8, H-1111 Budapest, Hungary;5. Laboratory of Computational Engineering , Helsinki University of Technology , P.O. Box 9203, FI-02015, Finland |
| Abstract: | |
| Keywords: | Correlation Market microstructure Econophysics Behavioural finance Market efficiency |