英文标题：
《Asymmetry of cross correlations between intra-day and overnight
volatilities》
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作者：
Rubina Zadourian, Peter Grassberger
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最新提交年份：
2015
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英文摘要：
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 \\textit{following} day (allowing thus non-trivial predictions), it is much less correlated with the intra-day volatility during the \\textit{preceding} day. While the effect is not unexpected in view of previous observations, its robustness and extreme simplicity are remarkable.
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中文摘要：
我们指出，在日间和隔夜波动率（股票价格对数收益的绝对值）之间的短期交叉相关性中，存在着惊人的时间不对称性。虽然隔夜波动率与次日的日内波动率显著（且正）相关（因此允许进行非平凡的预测），但与前一日的日内波动率的相关性要小得多。虽然从之前的观察来看，这种效果并不意外，但其鲁棒性和极端简单性是显著的。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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