High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model
| Autor: | Stefano Peluso, Fulvio Corsi, Giuseppe Buccheri |
|---|---|
| Přispěvatelé: | Buccheri, G, Corsi, F, Peluso, S |
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
Statistics and Probability
Cross-asset trading Economics and Econometrics Settore SECS-P/05 HB 01 natural sciences Price discovery HG Asynchronous trading 010104 statistics & probability Granger causality 0502 economics and business Microstructure noise Econometrics Economics Asset (economics) 0101 mathematics Empirical evidence 050205 econometrics Settore SECS-S/03 05 social sciences Univariate Settore SECS-S/06 Price formation Statistics Probability and Uncertainty Lead–lag compensator Social Sciences (miscellaneous) |
| ISSN: | 0735-0015 |
| Popis: | Motivated by the empirical evidence of high-frequency lead-lag effects and cross-asset linkages, we introduce a multi-asset price formation model which generalizes standard univariate microstructure models of lagged price adjustment. Econometric inference on such model provides: (i) a unified statistical test for the presence of lead-lag correlations in the latent price process and for the existence of a multi-asset price formation mechanism; (ii) separate estimation of contemporaneous and lagged dependencies; (iii) an unbiased estimator of the integrated covariance of the efficient martingale price process that is robust to microstructure noise, asynchronous trading, and lead-lag dependencies. Through an extensive simulation study, we compare the proposed estimator to alternative approaches and show its advantages in recovering the true lead-lag structure of the latent price process. Our application to a set of NYSE stocks provides empirical evidence for the existence of a multi-asset price formation mechanism and sheds light on its market microstructure determinants. Supplementary materials for this article are available online. |
| Databáze: | OpenAIRE |
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