Lead-lag detection and network clustering for multivariate time series with an application to the US equity market
多变量时间序列的领先—滞后检测与网络聚类:美国股票市场应用
In multivariate time series systems, it has been observed that certain groups of variables partially lead the evolution of the system, while other variables follow this evolution with a time delay; the result is a lead-lag structure amongst the time series variables. In this paper, we propose a method for the detection of lead-lag clusters of time series in multivariate systems. We demonstrate that the web of pairwise lead-lag relationships between time series can be…