Related references
Note: Only part of the references are listed.Can economic links explain lead-lag relations across firms?
Kailin Zeng et al.
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS (2023)
High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model
Giuseppe Buccheri et al.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2021)
Revealing Pairs-trading opportunities with long short-term memory networks
Andrea Flori et al.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2021)
Dynamic patterns of daily lead-lag networks in stock markets
Yongli Li et al.
QUANTITATIVE FINANCE (2021)
Can the Baidu Index predict realized volatility in the Chinese stock market?
Wei Zhang et al.
FINANCIAL INNOVATION (2021)
Connectedness of financial institutions in Europe: A network approach across quantiles
Oleg Deev et al.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2020)
Selecting stock pairs for pairs trading while incorporating lead-lag relationship
Kartikay Gupta et al.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2020)
Unveiling the relation between herding and liquidity with trader lead-lag networks
Carlo Campajola et al.
QUANTITATIVE FINANCE (2020)
Cost-benefit analysis of trading strategies in the stock index futures market
Xiong Xiong et al.
FINANCIAL INNOVATION (2020)
Profitability of momentum strategies in Latin America
Luis Berggrun et al.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2020)
The linear and nonlinear lead-lag relationship among three SSE 50 Index markets: The index futures, 50ETF spot and options markets
Tao Jiang et al.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2019)
Trading algorithms with learning in latent alpha models
Philippe Casgrain et al.
MATHEMATICAL FINANCE (2019)
Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500
Johannes Stuebinger
QUANTITATIVE FINANCE (2019)
Size and value in China
Jianan Liu et al.
JOURNAL OF FINANCIAL ECONOMICS (2019)
Equity Misvaluation and Default Options
Assaf Eisdorfer et al.
JOURNAL OF FINANCE (2019)
Long-run wavelet-based correlation for financial time series
Thomas Conlon et al.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2018)
Emergence and temporal structure of Lead-Lag correlations in collective stock dynamics
Lisi Xia et al.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2018)
Ultra-high-frequency lead-lag relationship and information arrival
Thong Minh Dao et al.
QUANTITATIVE FINANCE (2018)
Decision trees unearth return sign predictability in the S&P 500
L. Fievet et al.
QUANTITATIVE FINANCE (2018)
Social dynamics of financial networks
Teruyoshi Kobayashi et al.
EPJ DATA SCIENCE (2018)
Baidu index and predictability of Chinese stock returns
Dehua Shen et al.
FINANCIAL INNOVATION (2017)
Fundamental indexation revisited: New evidence on alpha
Mirco Balatti et al.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2017)
Correlation and Lead-Lag Relationships in a Hawkes Microstructure Model
Jose Da Fonseca et al.
JOURNAL OF FUTURES MARKETS (2017)
STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK
Christopher Krauss
JOURNAL OF ECONOMIC SURVEYS (2017)
The lead-lag relationship between stock index and stock index futures: A thermal optimal path method
Chen-Chen Gong et al.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2016)
... and the Cross-Section of Expected Returns
Campbell R. Harvey et al.
REVIEW OF FINANCIAL STUDIES (2016)
Dissecting Anomalies with a Five-Factor Model
Eugene F. Fama et al.
REVIEW OF FINANCIAL STUDIES (2016)
A network approach to portfolio selection
Gustavo Peralta et al.
JOURNAL OF EMPIRICAL FINANCE (2016)
Emergence of statistically validated financial intraday lead-lag relationships
Chester Curme et al.
QUANTITATIVE FINANCE (2015)
Rewarding Trading Skills without Inducing Gambling
Igor Makarov et al.
JOURNAL OF FINANCE (2015)
A five-factor asset pricing model
Eugene F. Fama et al.
JOURNAL OF FINANCIAL ECONOMICS (2015)
Digesting Anomalies: An Investment Approach
Kewei Hou et al.
REVIEW OF FINANCIAL STUDIES (2015)
High frequency lead/lag relationships - Empirical facts
Nicolas Huth et al.
JOURNAL OF EMPIRICAL FINANCE (2014)
Correlation and network analysis of global financial indices
Sunil Kumar et al.
PHYSICAL REVIEW E (2012)
The double power law in income distribution: Explanations and evidence
Alexis Akira Toda
JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION (2012)
Size, value, and momentum in international stock returns
Eugene F. Fama et al.
JOURNAL OF FINANCIAL ECONOMICS (2012)
Testing the Pareto against the lognormal distributions with the uniformly most powerful unbiased test applied to the distribution of cities
Yannick Malevergne et al.
PHYSICAL REVIEW E (2011)
The Anderson-Darling test of fit for the power-law distribution from left-censored samples
H. F. Coronel-Brizio et al.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2010)
A network analysis of the Chinese stock market
Wei-Qiang Huang et al.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2009)
Power-Law Distributions in Empirical Data
Aaron Clauset et al.
SIAM REVIEW (2009)
Increasing market efficiency:: Evolution of cross-correlations of stock returns
B Tóth et al.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2006)
Random networks with tunable degree distribution and clustering
E Volz
PHYSICAL REVIEW E (2004)
A theory of power-law distributions in financial market fluctuations
X Gabaix et al.
NATURE (2003)
Scale-free networks
AL Barabási et al.
SCIENTIFIC AMERICAN (2003)
Random graphs with arbitrary degree distributions and their applications
MEJ Newman et al.
PHYSICAL REVIEW E (2001)
Share Paper
