Related papers: Lead-lag Relationships in Foreign Exchange Markets
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…
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…
The intermarket analysis, in particular the lead-lag relationship, plays an important role within financial markets. Therefore a mathematical approach to be able to find interrelations between the price development of two different…
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…
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.…
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.…
Pairs Trading is carried out in the financial market to earn huge profits from known equilibrium relation between pairs of stock. In financial markets, seldom it is seen that stock pairs are correlated at particular lead or lag. This…
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…
Lead-lag relationships, integral to market dynamics, offer valuable insights into the trading behavior of high-frequency traders (HFTs) and the flow of information at a granular level. This paper investigates the lead-lag relationships…
As is widely known, the stock market is a complex system in which a multitude of factors influence the performance of individual stocks and the market as a whole. One method for comprehending -- and potentially predicting -- stock market…
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…
We introduce a method to infer lead-lag networks of agents' actions in complex systems. These networks open the way to both microscopic and macroscopic states prediction in such systems. We apply this method to trader-resolved data in the…
The existence of time-lagged cross-correlations between the returns of a pair of assets, which is known as the lead-lag relationship, is a well-known stylized fact in financial econometrics. Recently some continuous-time models have been…
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…
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…
In our previous study we have presented an approach to studying lead--lag effect in financial markets using information and network theories. Methodology presented there, as well as previous studies using Pearson's correlation for the same…
Foreign exchange rates movements exhibit significant cross-correlations even on very short time-scales. The effect of these statistical relationships become evident during extreme market events, such as flash crashes.In this scenario, an…
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…
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,…
Multifractal detrended cross-correlation methodology is described and applied to Foreign exchange (Forex) market time series. Fluctuations of high frequency exchange rates of eight major world currencies over 2010-2018 period are used to…