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Journal Article

Asymmetry of cross-correlations between intra-day and overnight volatilities

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Zadourian,  Rubina
Max Planck Institute for the Physics of Complex Systems, Max Planck Society;

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http://iopscience.iop.org/article/10.1209/0295-5075/118/18004/meta
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Citation

Zadourian, R., & Grassberger, P. (2017). Asymmetry of cross-correlations between intra-day and overnight volatilities. EPL, 118(1): 18004. doi:10.1209/0295-5075/118/18004.


Cite as: https://hdl.handle.net/11858/00-001M-0000-002D-D060-7
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. Copyright (C) EPLA, 2017