Journal Article

FZJ-2017-07806

http://join2-wiki.gsi.de/foswiki/pub/Main/Artwork/join2_logo100x88.png Asymmetry of cross-correlations between intra-day and overnight volatilities

Zadourian, R. ; Grassberger, P.FZJ*

2017
EDP Science65224 Les-Ulis

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Please use a persistent id in citations: http://hdl.handle.net/2128/22905  doi:10.1209/0295-5075/118/18004

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 following day (allowing thus non-trivial predictions), it is much less correlated with the intra-day volatility during the preceding day. While the effect is not unexpected in view of previous observations, its robustness and extreme simplicity are remarkable.

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Contributing Institute(s):

1. Jülich Supercomputing Center (JSC)

Research Program(s):

1. 511 - Computational Science and Mathematical Methods (POF3-511) (POF3-511)

Appears in the scientific report 2017

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Database coverage:
; ; Current Contents - Physical, Chemical and Earth Sciences ; IF < 5 ; JCR ; SCOPUS ; Science Citation Index ; Science Citation Index Expanded ; Thomson Reuters Master Journal List ; Web of Science Core Collection

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