Lead-lag analysis for ultra-high-frequency trading

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Yuta Koike
Graduate School of Mathematical Sciences
Associate Professor
In ultra-high-frequency trading in modern financial markets conducted at sub-second frequencies, one often observes lead-lag relationships between assets, which are beyond the scope of the conventional theory of financial engineering. The aim of this research is to understand how and why these phenomena occur.
Multi-scale decomposition of the cross-covariance between the S&P 500 index and its futures
Histogram of lead-lag times between the NASDAQ and BATS exchanges

Research collaborators

Takaki Hayashi (Professor, Keio University)

Related publications

Takaki Hayashi, Yuta Koike, Wavelet-based methods for high-frequency lead-lag analysis, SIAM Journal of Financial Mathematics, Vol. 9, No. 4, pp. 1208-1248 (2018).

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