摘要翻译：
详细分析了高频下股票收益之间的相关性，并与简单的随机游动模型进行了比较。我们特别关注相关性对时间尺度的依赖--所谓的Epps效应。这提供了股票价格回报的随机模型的特征，适用于非常高的频率。
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英文标题：
《Financial correlations at ultra-high frequency: theoretical models and
  empirical estimation》
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作者：
Iacopo Mastromatteo, Matteo Marsili and Patrick Zoi
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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英文摘要：
  A detailed analysis of correlation between stock returns at high frequency is compared with simple models of random walks. We focus in particular on the dependence of correlations on time scales - the so-called Epps effect. This provides a characterization of stochastic models of stock price returns which is appropriate at very high frequency.
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PDF链接：
https://arxiv.org/pdf/1011.1011