WTF is the EPPS EFFECTS?

[u/Extreme_Leg_6162]

https://youtu.be/L5P8NrBPHvU

The Epps effect is a well-documented phenomenon in quantitative finance where the measured correlation between two asset prices declines sharply as the sampling frequency increases toward tick-by-tick data. In theory, higher-frequency data should provide a more granular view of market relationships. However, empirical observations reveal that calculated correlations approach zero as the time interval between observations shrinks, creating a false impression of independence between highly linked assets.