TY  - JOUR
AU  - Zadourian, Rubina
AU  - Grassberger, Peter
TI  - Asymmetry of cross-correlations between intra-day and overnight volatilities
JO  - epl
VL  - 118
IS  - 1
SN  - 0295-5075
CY  - Les-Ulis
PB  - EDP Science65224
M1  - FZJ-2017-07806
SP  - 18004
PY  - 2017
AB  - 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.
LB  - PUB:(DE-HGF)16
UR  - <Go to ISI:>//WOS:000405277800026
DO  - DOI:10.1209/0295-5075/118/18004
UR  - https://juser.fz-juelich.de/record/840253
ER  -