This paper investigates the Lead-Lag relationships in high-frequency data.
We propose Multinomial Dynamic Time Warping (MDTW) that deals with non-synchronous observation, vast data, and time-varying Lead-Lag.
MDTW directly estimates the Lead-Lags without lag candidates. Its computational complexity is linear with respect to the number of observation and it does not depend on the number of lag candidates.
The experiments adopting artificial data and market data illustrate the effectiveness of our method compared to the existing methods.
1. Dynamic Time Warping を用いた高頻度取引データの
Lead-Lag 効果の推定
伊藤克哉1 酒本隆太2
1 東京大学経済学研究科
2 ワイジェイ FX 株式会社 *
第 50 回ジャフィー大会 2019 年 2 月 23 日
*
Disclaimer : The views expressed in these slides are those of our own and do not
necessarily represent those of YJFX, Inc.
K.Ito R.Sakemoto (UTokyo YJFX) Lead-Lag Estimation Using DTW JAFEE 2019/2/23 1 / 26
20. 付録
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K.Ito R.Sakemoto (UTokyo YJFX) Lead-Lag Estimation Using DTW JAFEE 2019/2/23 20 / 26
21. 付録
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