Emergence of statistically validated financial intraday lead-lag relationships

DOI10.1080/14697688.2015.1032545zbMath1406.91506arXiv1401.0462OpenAlexW1652950665MaRDI QIDQ4619502

Michele Tumminello, Chester Curme, Dror Y. Kenett, H. Eugene Stanley, Rosario Nunzio Mantegna

Publication date: 6 February 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.0462

zbMATH Keywords

bootstrap methodstock returnsfinancial marketshigh-frequency datastatistically validated networkslead-lag correlations

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Deterministic network models in operations research (90B10) Actuarial science and mathematical finance (91G99)

Related Items (10)

Ultra-high-frequency lead–lag relationship and information arrival ⋮ Cross-impact of order flow imbalance in equity markets ⋮ Lead-lag detection and network clustering for multivariate time series with an application to the us equity market ⋮ STATISTICALLY VALIDATED LEAD-LAG NETWORKS AND INVENTORY PREDICTION IN THE FOREIGN EXCHANGE MARKET ⋮ Emergence of statistically validated financial intraday lead-lag relationships ⋮ Communication cliques in mobile phone calling networks ⋮ Spectra of large time-lagged correlation matrices from random matrix theory ⋮ A Review of Two Decades of Correlations, Hierarchies, Networks and Clustering in Financial Markets ⋮ Unveiling the relation between herding and liquidity with trader lead-lag networks ⋮ Complex correlation approach for high frequency financial data

Uses Software

• bootstrap

Cites Work

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