High Frequency Lead/lag Relationships Empirical facts

@inproceedings{Huth2011HighFL,
  title={High Frequency Lead/lag Relationships Empirical facts},
  author={Nicolas Huth and Fr{\'e}d{\'e}ric Abergel},
  year={2011}
}
Lead/lag relationships are an important stylized fact at high frequency. Some assets follow the path of others with a small time lag. We provide indicators to measure this phenomenon using tick-by-tick data. Strongly asymmetric cross-correlation functions are empirically observed, especially in the future/stock case. We confirm the intuition that the most liquid assets (short intertrade duration, narrow bid/ask spread, small volatility, high turnover) tend to lead smaller stocks. However, the… CONTINUE READING

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