关于爱普斯效应的起源
On the origin of the Epps effect
摘要：
Epps效应是指短时间内股票收益率之间的相关性下降，其原因可以追溯到交易的连续性和价格之间偶然的领先-滞后关系。我们研究对股票，后者是可以忽略不计的，并确认的重要性，但指出，单独这些方面是不够的，以考虑到整个效果。
英文摘要：
The Epps effect, the decrease of correlations between stock returns for short time windows, was traced back to the trading asynchronicity and to the occasional lead-lag relation between the prices. We study pairs of stocks where the latter is negligible and confirm the importance of asynchronicity but point out that alone these aspects are insufficient to give account for the whole effect.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
