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02.12.2019 | Original Research

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

verfasst von: Katsuya Ito, Ryuta Sakemoto

Erschienen in: Asia-Pacific Financial Markets | Ausgabe 3/2020

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Abstract

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.

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Titel: Direct Estimation of Lead–Lag Relationships Using Multinomial Dynamic Time Warping
verfasst von: Katsuya Ito
Ryuta Sakemoto
Publikationsdatum: 02.12.2019
Verlag: Springer Japan
Erschienen in: Asia-Pacific Financial Markets / Ausgabe 3/2020
Print ISSN: 1387-2834
Elektronische ISSN: 1573-6946
DOI: https://doi.org/10.1007/s10690-019-09295-z

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