Epps Effect and the Signature of Short-Term Momentum Traders

It is a well-documented fact that the correlation function of the returns on two "related" assets is generally increasing as a function of the horizon $h$ of these returns. This phenomenon, termed the Epps Effect, holds true in a wide variety of markets, and there is a large body of literature devoted to its theoretical justification. Our focus here is to describe and understand a deviation to the Epps effect, observed in the context of the foreign exchange and cryptocurrency markets. Specifically, we document a sharp local maximum of the cross-correlation function of returns on the Euro EUR/USD and Bitcoin BTC/USD pairs as a function of $h$. Our claim is that this anomaly reveals the activity of short-term momentum traders.Comment: 9 pages, 4 figure

Nonlinear Eigenvalues and Bifurcation Problems for Pucci's Operator

In this paper we extend existing results concerning generalized eigenvalues of Pucci's extremal operators. In the radial case, we also give a complete description of their spectrum, together with an equivalent of Rabinowitz's Global Bifurcation Theorem. This allows us to solve equations involving Pucci's operators

Trajectory dynamical systems and their attractors.

We start with the definition of Kolmogorov ε-entropy, via which we define fractal dimension of the compact set in the metric space. We will use these two concepts in the sequel