Correlation emergence in two coupled limit order books in the fluid limit by Bauer, Dominic

“…We demonstrate how the Epps effect depends on different choices of time and price discretisation and show how an Epps effect can emerge without recourse to market microstructure effects.…”
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The Arbitrage pricing theory: an assessment of the robustness of empirical techniques employed under conditions of thin trading and in the presence of non-normalities by Page, Michael J

“…On the basis of an extensive simulation study the statistical procedures of principal components analysis, principal factor analysis and generalised least squares regression are shown to produce results that appear independent of the true number of underlying factors generating risky asset returns. When market microstructure effects and significant levels of thin trading are simulated into the data the power of the procedures is further reduced. …”
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Non-parametric volatility measurements and volatility forecasting models by Du Toit, Cornel

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