The market drives ETFs or ETFs the market: causality without Granger

Peter Lerner

Papers from arXiv.org

Abstract: This paper develops a deep learning-based econometric methodology to determine the causality of the financial time series. This method is applied to the imbalances in daily transactions in individual stocks, as well as the ETFs reported to SEC with a nanosecond time stamp. Based on our method, we conclude that transaction imbalances of ETFs alone are more informative than the transaction imbalances in the entire market. Characteristically, a sheer number of imbalance messages related to the individual stocks dominates the imbalance messages due to the ETF in the proportion of 8:1.

Date: 2022-04
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2204.03760 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2204.03760

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().