英文标题：
《Lead-Lag Relationship using a Stop-and-Reverse-MinMax Process》
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作者：
Stanislaus Maier-Paape, Andreas Platen
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最新提交年份：
2015
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英文摘要：
The intermarket analysis, in particular the lead-lag relationship, plays an important role within financial markets. Therefore a mathematical approach to be able to find interrelations between the price development of two different financial underlyings is developed in this paper. Computing the differences of the relative positions of relevant local extrema of two charts, i.e., the local phase shifts of these underlyings, gives us an empirical distribution on the unit circle. With the aid of directional statistics such angular distributions are studied for many pairs of markets. It is shown that there are several very strongly correlated underlyings in the field of foreign exchange, commodities and indexes. In some cases one of the two underlyings is significantly ahead with respect to the relevant local extrema, i.e., there is a phase shift unequal to zero between these two underlyings.
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中文摘要：
市场间分析，尤其是超前-滞后关系，在金融市场中发挥着重要作用。因此，本文提出了一种数学方法，能够找到两种不同金融基础的价格发展之间的相互关系。通过计算两个图表相关局部极值的相对位置差，即这些底层的局部相移，我们可以得到单位圆上的经验分布。借助方向统计量，研究了多对市场的这种角分布。研究表明，在外汇、商品和指数领域，存在几个非常强的相关性。在某些情况下，两个基线中的一个相对于相关的局部极值显著超前，即这两个基线之间存在不等于零的相移。
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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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