Abstract
A new approach for modeling lead-lag relationships in high frequency financial markets is proposed. The model is accommodated to non-synchronous trading and market microstructure noise as well as intraday variations of lead-lag relationships, which are essential for empirical applications. A simple statistical methodology for analyzing the proposed model is presented as well. The methodology is illustrated by an empirical study to detect lead-lag relationships between the S&P 500 index and its two derivative products.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
