Multi-scale analysis of lead-lag relationships in high-frequency financial markets

Takaki Hayashi and Yuta Koike

Papers from arXiv.org

Abstract: 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 original datasets and is applicable to those with highest time resolution available. Consistency of the proposed estimators is shown under the continuous-time framework that has been developed in our previous work Hayashi and Koike (2018). An empirical application to a quote dataset of the NASDAQ-100 assets identifies two types of lead-lag relationships at different time scales.

Date: 2017-08, Revised 2020-05
New Economics Papers: this item is included in nep-ecm and nep-mst
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