The Epps effect under alternative sampling schemes

Time and the choice of measurement time scales is fundamental to how we choose represent information data in finance. This implies both units aggregation for resulting statistical measurables used describe a financial system. It also defines measure relationship between different traded instruments. As move from high-frequency scales, when individual trade quote events occur, mesoscales correlations emerge ways that can conform various latent models; it remains unclear what sampling rates are appropriate faithfully capture system dynamics asset decision making. The Epps effect key phenomenology couples emergence scales. Here consider compare under schemes order contrast three choices time: calendar time, volume time. Using toy model based on Hawkes process, able achieve simulation results well with empirical dynamics. Concretely, find present all definitions faster compared whereas linearly