Lead-lag analysis for ultra-high-frequency trading
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Graduate School of Mathematical Sciences
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.
Takaki Hayashi (Professor, Keio University)
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).