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- W4299851657 abstract "We point out a stunning time asymmetry in the short time cross correlations between intra-day and overnight volatilities (absolute values of log-returns of stock prices). While overnight volatility is significantly (and positively) correlated with the intra-day volatility during the textit{following} day (allowing thus non-trivial predictions), it is much less correlated with the intra-day volatility during the textit{preceding} day. While the effect is not unexpected in view of previous observations, its robustness and extreme simplicity are remarkable." @default.
- W4299851657 created "2022-10-03" @default.
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- W4299851657 date "2015-09-27" @default.
- W4299851657 modified "2023-09-25" @default.
- W4299851657 title "Asymmetry of cross correlations between intra-day and overnight volatilities" @default.
- W4299851657 doi "https://doi.org/10.48550/arxiv.1509.08079" @default.
- W4299851657 hasPublicationYear "2015" @default.
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