Epps effect
http://dbpedia.org/resource/Epps_effect an entity of type: Disease
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 and discretization effects. However, a current study shows that the effect originates in investors' herd behaviour.
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Epps effect
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20388747
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1072394680
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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 and discretization effects. However, a current study shows that the effect originates in investors' herd behaviour.
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1074