Lead-lag relationships in market microstructure
- 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.
| Author: | Micha BenderORCiD, Tino Cestonaro, Julian Schmidt |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-808033 |
| ISSN: | 1866-1238 |
| ISSN: | 2700-2241 |
| Parent Title (English): | Efl insights : an elf - the Data Science Institute publication |
| Publisher: | E-Finance Lab e.V. |
| Place of publication: | Frankfurt am Main |
| Document Type: | Article |
| Language: | English |
| Date of Publication (online): | 2024/01/03 |
| Date of first Publication: | 2024/01/03 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2024/01/15 |
| Volume: | 2024 |
| Issue: | 1 |
| Page Number: | 2 |
| First Page: | 4 |
| Last Page: | 5 |
| Institutes: | Angeschlossene und kooperierende Institutionen / E-Finance Lab e.V. |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Deutsches Urheberrecht |
