High Frequency Correlation Modelling

  • Nicolas Huth
  • Frédéric Abergel
Part of the New Economic Windows book series (NEW)


Many statistical arbitrage strategies, such as pair trading or basket trading, are based on several assets. Optimal execution routines should also take into account correlation between stocks when proceeding clients orders. However, not so much effort has been devoted to correlation modelling and only few empirical results are known about high frequency correlation. Depending on the time scale under consideration, a plausible candidate for modelling correlation should:
  • at high frequency: reproduce the Epps effect [1], take into account lead-lag relationships between assets [2]

  • at the daily scale: avoid purely Gaussian correlations [3].


Point Process Epps Effect Epps Curve Order Book Market Order 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Springer-Verlag Italia 2011

Authors and Affiliations

  • Nicolas Huth
    • 1
    • 2
  • Frédéric Abergel
    • 1
    • 2
  1. 1.Laboratory of Mathematics Applied to SystemsÉcole Centrale ParisChâtenay-MalabryFrance
  2. 2.Natixis CIBParis

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