Another one fresh off the pre-printing press at arXiv. Having skimmed the paper, this looks like a serious treatment of a very serious problem – reconstructing the coefficient on the correlation term of models when returns are sampled asynchronously, as is almost always the case when using tick data.  On a related note, Section 2 is the best presentation of the Epps effect in this context I’ve seen.

Abstract: 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 e ect. This provides a characterization of stochastic models of stock price returns which is appropriate at very high frequency.

I. Mastromatteo, M. Marsili, P. Zoi. Financial correlations at ultra-high frequency: theoretical models and empirical estimation. arXiv:1011.1011

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