Direct Estimation of Lead–Lag Relationships Using Multinomial Dynamic Time Warping

被引：0
|
作者：
Katsuya Ito
Ryuta Sakemoto
机构：
[1] The University of Tokyo,Graduate School of Economics
[2] YJFX,undefined
[3] Inc.,undefined
[4] Keio University,undefined
来源：
Asia-Pacific Financial Markets | 2020年 / 27卷
关键词：
Lead–lag relationships; High frequency trading; Dynamic time warping; C63; C58;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper investigates the lead–lag relationships in high-frequency data. We propose multinomial dynamic time warping (MDTW) that deals with non-synchronous observation, vast data, and time-varying lead–lag. MDTW directly estimates the lead–lags without lag candidates. Its computational complexity is linear with respect to the number of observation and it does not depend on the number of lag candidates. The experiments adopting artificial data and market data illustrate the effectiveness of our method compared to the existing methods.
引用
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页码：325 / 342
页数：17
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