英文标题：
《Information-theoretic approach to lead-lag effect on financial markets》
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作者：
Pawe{\\l} Fiedor
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最新提交年份：
2014
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英文摘要：
Recently the interest of researchers has shifted from the analysis of synchronous relationships of financial instruments to the analysis of more meaningful asynchronous relationships. Both of those analyses are concentrated only on Pearson\'s correlation coefficient and thus intraday lead-lag relationships associated with such. Under Efficient Market Hypothesis such relationships are not possible as all information is embedded in the prices. In this paper we analyse lead-lag relationships of financial instruments and extend known methodology by using mutual information instead of Pearson\'s correlation coefficient, which not only is a more general measure, sensitive to non-linear dependencies, but also can lead to a simpler procedure of statistical validation of links between financial instruments. We analyse lagged relationships using NYSE 100 data not only on intraday level but also for daily stock returns, which has usually been ignored.
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中文摘要：
最近，研究人员的兴趣已经从分析金融工具的同步关系转向分析更有意义的异步关系。这两种分析都只集中在皮尔逊的相关系数上，因此也就是与这些相关的日内领先-滞后关系上。在有效市场假设下，这种关系是不可能的，因为所有信息都嵌入在价格中。在本文中，我们分析了金融工具的超前-滞后关系，并通过使用互信息而不是皮尔逊相关系数扩展了已知的方法。皮尔逊相关系数不仅是一种更通用的测量方法，对非线性依赖非常敏感，而且还可以简化金融工具之间联系的统计验证过程。我们使用纽约证交所100指数的数据分析滞后关系，不仅分析日内水平，还分析通常被忽略的每日股票收益率。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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