Abstract
We propose a novel framework to investigate lead-lag relationships between two financial assets. Our framework bridges a gap between continuous-time modeling based on Brownian motion and the existing wavelet methods for lead-lag analysis based on discrete-time models and enables us to analyze the multiscale structure of lead-lag effects. We also present a statistical methodology for the scale-by-scale analysis of lead-lag effects in the proposed framework and develop an asymptotic theory applicable to a situation including stochastic volatilities and irregular sampling. Finally, we report several numerical experiments to demonstrate how our framework works in practice.
| Original language | English |
|---|---|
| Pages (from-to) | 1208-1248 |
| Number of pages | 41 |
| Journal | SIAM Journal on Financial Mathematics |
| Volume | 9 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - 2018 Jan 1 |
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Keywords
- Brownian motion
- High-frequency data
- Lead-lag effect
- Multiscale modeling
- Wavelet
ASJC Scopus subject areas
- Numerical Analysis
- Finance
- Applied Mathematics
Cite this
Wavelet-based methods for high-frequency lead-lag analysis∗ . / Hayashi, Takaki; Koike, Yuta.
In: SIAM Journal on Financial Mathematics, Vol. 9, No. 4, 01.01.2018, p. 1208-1248.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Wavelet-based methods for high-frequency lead-lag analysis∗
AU - Hayashi, Takaki
AU - Koike, Yuta
PY - 2018/1/1
Y1 - 2018/1/1
N2 - We propose a novel framework to investigate lead-lag relationships between two financial assets. Our framework bridges a gap between continuous-time modeling based on Brownian motion and the existing wavelet methods for lead-lag analysis based on discrete-time models and enables us to analyze the multiscale structure of lead-lag effects. We also present a statistical methodology for the scale-by-scale analysis of lead-lag effects in the proposed framework and develop an asymptotic theory applicable to a situation including stochastic volatilities and irregular sampling. Finally, we report several numerical experiments to demonstrate how our framework works in practice.
AB - We propose a novel framework to investigate lead-lag relationships between two financial assets. Our framework bridges a gap between continuous-time modeling based on Brownian motion and the existing wavelet methods for lead-lag analysis based on discrete-time models and enables us to analyze the multiscale structure of lead-lag effects. We also present a statistical methodology for the scale-by-scale analysis of lead-lag effects in the proposed framework and develop an asymptotic theory applicable to a situation including stochastic volatilities and irregular sampling. Finally, we report several numerical experiments to demonstrate how our framework works in practice.
KW - Brownian motion
KW - High-frequency data
KW - Lead-lag effect
KW - Multiscale modeling
KW - Wavelet
UR - http://www.scopus.com/inward/record.url?scp=85060181861&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85060181861&partnerID=8YFLogxK
U2 - 10.1137/18M1166079
DO - 10.1137/18M1166079
M3 - Article
AN - SCOPUS:85060181861
VL - 9
SP - 1208
EP - 1248
JO - SIAM Journal on Financial Mathematics
JF - SIAM Journal on Financial Mathematics
SN - 1945-497X
IS - 4
ER -