Journal article icon

Journal article

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

Abstract:

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...

Expand abstract
Publication status:
Published
Peer review status:
Peer reviewed

Actions


Access Document


Files:
Publisher copy:
10.1007/s10994-022-06250-4

Authors


More by this author
Institution:
University of Oxford
Division:
MPLS
Department:
Statistics
Role:
Author
More by this author
Institution:
University of Oxford
Division:
MPLS
Department:
Statistics
Oxford college:
Merton College
Role:
Author
ORCID:
0000-0002-8464-2152
More by this author
Institution:
University of Oxford
Division:
MPLS
Department:
Statistics
Role:
Author
ORCID:
0000-0002-0363-9470
Publisher:
Springer
Journal:
Machine Learning More from this journal
Volume:
111
Issue:
12
Pages:
4497–4538
Publication date:
2022-11-01
Acceptance date:
2022-09-15
DOI:
EISSN:
1573-0565
ISSN:
0885-6125
Language:
English
Keywords:
Pubs id:
1304426
Local pid:
pubs:1304426
Deposit date:
2022-11-25

Terms of use


Views and Downloads






If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP