• Corpus ID: 246063638

Lead-lag detection and network clustering for multivariate time series with an application to the US equity market

@article{Bennett2022LeadlagDA,
  title={Lead-lag detection and network clustering for multivariate time series with an application to the US equity market},
  author={Stefanos Bennett and Mihai Cucuringu and Gesine Reinert},
  journal={ArXiv},
  year={2022},
  volume={abs/2201.08283}
}
In multivariate time series systems, it has been observed that certain groups of variables partially lead the evolution of the system, while other variables follow this evolution with a time delay; the result is a lead-lag structure amongst the time series variables. In this paper, we propose a method for the detection of lead-lag clusters of time series in multivariate systems. We demonstrate that the web of pairwise lead-lag relationships between time series can be helpfully construed as a… 

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