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Dynamic Time Warping for Lead-Lag Relationships in Lagged Multi-Factor Models
In multivariate time series systems, lead-lag relationships reveal dependencies between time series when they are shifted in time relative to each other.
Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models
In multivariate time series systems, key insights can be obtained by discovering lead-lag relationships inherent in the data, which refer to the dependence between two time series shifted in time relative to one another, and which can be leveraged for the purposes of control, forecasting or clustering.
Fragmentation, Price Formation, and Cross-Impact in Bitcoin Markets
In light of micro-scale inefficiencies induced by the high degree of fragmentation of the Bitcoin trading landscape, we utilize a granular data set comprised of orderbook and trades data from the most liquid Bitcoin markets, in order to understand the price formation process at sub-1 second time scales.
