使用Stop-and-Reverse-MinMax过程的超前-滞后关系
Lead-Lag Relationship using a Stop-and-Reverse-MinMax Process
摘要：
市场间分析，特别是超前滞后关系，在金融市场中起着重要的作用。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。计算两个图的相关局部极值的相对位置之差，即，这些基础的局部相移给我们单位圆上的经验分布。借助方向统计，这样的角分布研究了许多对市场。结果表明，在外汇、商品和指数领域存在几个非常强的相关性基础。在某些情况下，两个基础中的一个相对于相关局部极值显著领先，即，在这两个基础之间存在不等于零的相移。
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
