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It is a well-documented fact that the correlation function of the returns ontwo "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 widevariety of markets, and there is a large body of literature devoted to itstheoretical justification. Our focus here is to describe and understand adeviation to the Epps effect, observed in the context of the foreign exchangeand cryptocurrency markets. Specifically, we document a sharp local maximum ofthe cross-correlation function of returns on the Euro EUR/USD and BitcoinBTC/USD pairs as a function of $h$. Our claim is that this anomaly reveals theactivity of short-term momentum traders.

Epps Effect and the Signature of Short-Term Momentum Traders