Ultra-high-frequency lead–lag relationship and information arrival

DOI10.1080/14697688.2017.1414484zbMath1400.91536OpenAlexW2789235744WikidataQ58875114 ScholiaQ58875114MaRDI QIDQ4554452

Thong Minh Dao, Frank McGroarty, Andrew Urquhart

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1414484

zbMATH Keywords

trading volumehigh frequencylead-lag relationshiplead-lag effectinformation arrival

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Estimating covariation: Epps effect, microstructure noise
• An econometric analysis of nonsynchronous trading
• Chicago board call options as predictors of common stock price changes
• On covariance estimation of non-synchronously observed diffusion processes
• Estimation of the lead-lag parameter from non-synchronous data
• Emergence of statistically validated financial intraday lead-lag relationships
• Structural change and lead-lag relationship between the Nikkei spot index and futures price: a genetic programming approach
• Ultra‐High‐Frequency Algorithmic Arbitrage Across International Index Futures

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