Multi-scale analysis of lead-lag relationships in high-frequency financial markets
Abstract
We propose a novel estimation procedure for scale-by-scale lead-lag relationships of financial assets observed at high-frequency in a non-synchronous manner. The proposed estimation procedure does not require any interpolation processing of original datasets and is applicable to those with highest time resolution available. Consistency of the proposed estimators is shown under the continuous-time framework that has been developed in our previous work Hayashi and Koike (2018). An empirical application to a quote dataset of the NASDAQ-100 assets identifies two types of lead-lag relationships at different time scales.
Keywords
Cite
@article{arxiv.1708.03992,
title = {Multi-scale analysis of lead-lag relationships in high-frequency financial markets},
author = {Takaki Hayashi and Yuta Koike},
journal= {arXiv preprint arXiv:1708.03992},
year = {2020}
}
Comments
30 pages, 1 figure. Theoretical results have been improved. Empirical application has been updated (there was a minor data manipulation issue in v3 and it has been fixed in this version)