The Epps Effect is a phenomenon in financial econometrics where the empirical correlation between high-frequency price changes of two assets decreases as the sampling frequency increases, due to market microstructure effects such as asynchronous trading and bid-ask bounce.
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1.6K
Citations
73
Authors
46
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Publications per year
2017–2026
11
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Estimating covariation: Epps effect, microstructure noise
Lan Zhang · Journal of Econometrics · 2010 · 310 citations
Modelling microstructure noise with mutually exciting point processes
Emmanuel Bacry, Sylvain Delattre, Marc Hoffmann et al. · Quantitative Finance · 2012 · 304 citations · Full text
Estimating Covariation: Epps Effect, Microstructure Noise
Lan Zhang · SSRN Electronic Journal · 2006 · 99 citations · Full text
A CLOSER LOOK AT THE EPPS EFFECT
Roberto Renò · International Journal of Theoretical and Applied Finance · 2003 · 93 citations
1–5 of 34
Authors
73
- JMJean–François Muzy
Centre National de la Recherche Scientifique, France
3 publications · 375 citations
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h-index
- MH
3
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- EB
3
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- SDSylvain Delattre
Laboratoire de Probabilités et Modèles Aléatoires, France
3 publications · 375 citations
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- JM
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1–5 of 73
Institutions
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University of Illinois Chicago
Chicago, United States
2 h-index
2 publications
409 citations
Victoria University of Wellington
Wellington, New Zealand
2 h-index
3 publications
91 citations
Institute of Nuclear Physics, Polish Academy of Sciences
Krakow, Poland
2 h-index
5 publications
322 citations
Universidad de La Frontera
Temuco, Chile
2 h-index
2 publications
29 citations
Budapest University of Technology and Economics
Budapest, Hungary
2 h-index
4 publications
138 citations
Universidad de Murcia
Murcia, Spain
2 h-index
2 publications
29 citations
Scuola Normale Superiore
Pisa, Italy
1 h-index
4 publications
88 citations
UNSW Sydney
Sydney, Australia
1 h-index
3 publications
93 citations
1–8 of 46
Venues
- Quantitative Finance
3 publications · 374 citations
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- The Journal of Physiology
3 publications · 145 citations
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- SSRN Electronic Journal
Repository · 3 publications · 152 citations
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- arXiv (Cornell University)
Repository · 2 publications · 71 citations
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- Journal of Neurophysiology
JN · 2 publications · 33 citations
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