Volume 118, Number 1, April 2017
|Number of page(s)||5|
|Section||Interdisciplinary Physics and Related Areas of Science and Technology|
|Published online||30 May 2017|
Asymmetry of cross-correlations between intra-day and overnight volatilities
1 Max-Planck-Institut für Physik Komplexer Systeme - Nöthnitzer Strasse 38, D-01187 Dresden, Germany
2 JSC, FZ Jülich - D-52425 Jülich, Germany
Received: 30 January 2017
Accepted: 15 May 2017
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.
PACS: 89.65.Gh – Economics; econophysics, financial markets, business and management
© EPLA, 2017
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