Detection and clustering of lead-lag networks for multivariate time series with an application to financial markets
In this paper, we propose a method for the detection of lead-lag clusters in multivariate time series, using a pairwise lead-lag metric and a directed network clustering algorithm. We demonstrate that the latent network of pairwise lead-lag relationships between time series can be helpfully construe...
| मुख्य लेखकों: | , , |
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| स्वरूप: | Conference item |
| भाषा: | English |
| प्रकाशित: |
2022
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| _version_ | 1826309000308719616 |
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| author | Bennett, S Cucuringu, M Reinert, G |
| author_facet | Bennett, S Cucuringu, M Reinert, G |
| author_sort | Bennett, S |
| collection | OXFORD |
| description | In this paper, we propose a method for the detection of lead-lag clusters in multivariate time series, using a pairwise lead-lag metric and a directed network clustering algorithm. We demonstrate that the latent network of pairwise lead-lag relationships between time series can be helpfully construed as a directed network, for which there exists a suitable algorithm for the detection of pairs of lead-lag clusters with high pairwise imbalance. Our method is able to detect statistically significant lead-lag clusters in our primary domain of study, the US equity market. We study the nature of these clustersin the context of the empirical finance literature on lead-lag relations. |
| first_indexed | 2024-03-07T07:27:41Z |
| format | Conference item |
| id | oxford-uuid:a27991df-cf1e-4280-b1da-525c0c15dfa2 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T07:27:41Z |
| publishDate | 2022 |
| record_format | dspace |
| spelling | oxford-uuid:a27991df-cf1e-4280-b1da-525c0c15dfa22022-11-29T08:21:44ZDetection and clustering of lead-lag networks for multivariate time series with an application to financial marketsConference itemhttp://purl.org/coar/resource_type/c_c94fuuid:a27991df-cf1e-4280-b1da-525c0c15dfa2EnglishSymplectic Elements2022Bennett, SCucuringu, MReinert, GIn this paper, we propose a method for the detection of lead-lag clusters in multivariate time series, using a pairwise lead-lag metric and a directed network clustering algorithm. We demonstrate that the latent network of pairwise lead-lag relationships between time series can be helpfully construed as a directed network, for which there exists a suitable algorithm for the detection of pairs of lead-lag clusters with high pairwise imbalance. Our method is able to detect statistically significant lead-lag clusters in our primary domain of study, the US equity market. We study the nature of these clustersin the context of the empirical finance literature on lead-lag relations. |
| spellingShingle | Bennett, S Cucuringu, M Reinert, G Detection and clustering of lead-lag networks for multivariate time series with an application to financial markets |
| title | Detection and clustering of lead-lag networks for multivariate time series with an application to financial markets |
| title_full | Detection and clustering of lead-lag networks for multivariate time series with an application to financial markets |
| title_fullStr | Detection and clustering of lead-lag networks for multivariate time series with an application to financial markets |
| title_full_unstemmed | Detection and clustering of lead-lag networks for multivariate time series with an application to financial markets |
| title_short | Detection and clustering of lead-lag networks for multivariate time series with an application to financial markets |
| title_sort | detection and clustering of lead lag networks for multivariate time series with an application to financial markets |
| work_keys_str_mv | AT bennetts detectionandclusteringofleadlagnetworksformultivariatetimeserieswithanapplicationtofinancialmarkets AT cucuringum detectionandclusteringofleadlagnetworksformultivariatetimeserieswithanapplicationtofinancialmarkets AT reinertg detectionandclusteringofleadlagnetworksformultivariatetimeserieswithanapplicationtofinancialmarkets |