Related papers: Wavelet-based methods for high-frequency lead-lag …
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…
This paper presents a general framework for modeling dependence in multivariate time series. Its fundamental approach relies on decomposing each signal in a system into various frequency components and then studying the dependence…
This paper considers two Brownian motions in a situation where one is correlated to the other with a slight delay. We study the problem of estimating the time lag parameter between these Brownian motions from their high-frequency…
Recently the interest of researchers has shifted from the analysis of synchronous relationships of financial instruments to the analysis of more meaningful asynchronous relationships. Both of those analyses are concentrated only on…
In multivariate time series systems, lead-lag relationships reveal dependencies between time series when they are shifted in time relative to each other. Uncovering such relationships is valuable in downstream tasks, such as control,…
This paper proposes a flexible framework for inferring large-scale time-varying and time-lagged correlation networks from multivariate or high-dimensional non-stationary time series with piecewise smooth trends. Built on a novel and unified…
This paper introduces a new theoretical framework for analyzing lead-lag relationships between point processes, with a special focus on applications to high-frequency financial data. In particular, we are interested in lead-lag…
Lead/lag relationships are an important stylized fact at high frequency. Some assets follow the path of others with a small time lag. We provide indicators to measure this phenomenon using tick-by-tick data. Strongly asymmetric…
The lead-lag effect, where the price movement of one asset systematically precedes that of another, has been widely observed in financial markets and conveys valuable predictive signals for trading. However, traditional lead-lag detection…
We propose a novel two-stage framework to detect lead-lag relationships in the Chinese A-share market. First, long-term coupling between stocks is measured via daily data using correlation, dynamic time warping, and rank-based metrics.…
The lead-lag relationship plays a vital role in financial markets. It is the phenomenon where a certain price-series lags behind and partially replicates the movement of leading time-series. The present research proposes a new technique…
In multivariate time series systems, key insights can be obtained by discovering lead-lag relationships inherent in the data, which refer to the dependence between two time series shifted in time relative to one another, and which can be…
According to the leading models in modern finance, the presence of intraday lead-lag relationships between financial assets is negligible in efficient markets. With the advance of technology, however, markets have become more sophisticated.…
Purpose: This study introduces a novel framework for identifying and exploiting predictive lead-lag relationships in financial markets. We propose an integrated approach that combines advanced statistical methodologies with machine learning…
In time-series analysis, the term "lead-lag effect" is used to describe a delayed effect on a given time series caused by another time series. lead-lag effects are ubiquitous in practice and are specifically critical in formulating…
In multivariate time series systems, it has been observed that certain groups of variables partially lead the evolution of the system, while other variables follow this evolution with a time delay; the result is a lead-lag structure amongst…
The study of time series has motivated many researchers, particularly on the area of multivariate-analysis. The study of co-movements and dependency between random variables leads us to develop metrics to describe existing connection…
While a substantial literature on structural break change point analysis exists for univariate time series, research on large panel data models has not been as extensive. In this paper, a novel method for estimating panel models with…
In this paper, we consider the problem of estimating the lead-lag parameter between two stochastic processes driven by fractional Brownian motions (fBMs) of the Hurst parameter greater than 1/2. First we propose a lead-lag model between two…
We propose a method of analyzing multivariate time series data that investigates lead-lag relationships among economic indicators during the COVID-19 era with a weighted directed network of lagged variables. The analysis includes a stock…