No arbitrage and lead-lag relationships


The existence of time-lagged cross-correlations between the returns of a pair of assets, which is known as the lead-lag relationship, is a well-known stylized fact in financial econometrics. Recently some continuous-time... [ view full abstract ]


  1. Takaki Hayashi (Keio University)
  2. Yuta Koike (University of Tokyo)

Topic Areas

Econometrics , High-Frequency Trading , Market Frictions


TH-P-DA » Markets Stylized Facts and Econometrics (14:30 - Thursday, 19th July, Davis)

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