Returns-driven macro regimes and characteristic lead-lag behaviour between asset classes

We define data-driven macroeconomic regimes by clustering the relative performance in time of indices belonging to different asset classes. We then investigate lead-lag relationships within the regimes identified. Our study unravels market features characteristic of different windows in time and lev...

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Detalhes bibliográficos
Main Authors: Miori, D, Cucuringu, M
Formato: Conference item
Idioma:English
Publicado em: Association for Computing Machinery 2022