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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Epps effect ： ウィキペディア英語版 Epps effect In econometrics and time series analysis, the Epps effect, named after T. W. Epps, is the phenomenon that the empirical correlation between the returns of two different stocks decreases as the sampling frequency of data increases. The phenomenon is caused by non-synchronous/asynchronous trading 〔Epps, T.W. (1979) Comovements in Stock Prices in the Very Short Run, ''Journal of the American Statistical Association'', 74, 291–298. (jstor )〕 and discretization effects.〔M. C. Münnix et al (2010) Impact of the tick-size on financial returns and correlations, ''Physica A'', 389 (21) 4828–4843. (arxiv )〕 However, a current study shows that the effect originates in investors' herd behaviour.〔http://iopscience.iop.org/1367-2630/16/5/053040 - Modelling the short term herding behaviour of stock markets〕 ==References== 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Epps effect」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.