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The Epps effect "is the phenomenon that the empirical correlation between the returns of two different stocks decreases with the length of the interval for which the price changes are measured" (Wikipedia). If you could trade two assets at the finer time scale, and they have a higher correlation of returns at the coarse than the fine time scale, what kind of Sharpe ratio can be achieved as a function of the difference in correlation of returns at the fine and coarse time scales?

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