TY  - JOUR
A1  - Bender, Micha
A1  - Cestonaro, Tino
A1  - Schmidt, Julian
T1  - Lead-lag relationships in market microstructure
T2  - Efl insights : an elf - the Data Science Institute publication
N2  - This study explores high-frequency cross-asset lead-lag relationships for various market microstructure dimensions. Utilizing data from stocks, futures, and exchange traded products, the findings uncover significant lead-lag patterns, particularly among fundamentally related instruments. Our results demonstrate that knowledge about lead-lag relationships can be leveraged for forecasting short-term changes in financial markets.
Y1  - 2024
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/80803
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-808033
SN  - 1866-1238
SN  - 2700-2241
VL  - 2024
IS  - 1
SP  - 4
EP  - 5
PB  - E-Finance Lab e.V.
CY  - Frankfurt am Main
ER  -