Emergence of statistically validated financial intraday lead-lag relationships

Quantitative Finance

Volumn 15, Issue 8, 2015, Pages 1375-1386

  Curme, Chester ^a   Tumminello, Michele ^b   Mantegna, Rosario N ^b,c   Stanley, H Eugene ^a   Kenett, Dror Y ^a  

^a USA   (United States)

^b UNIVERSITY OF PALERMO   (Italy)

^c CENTRAL EUROPEAN UNIVERSITY   (Hungary)

Author keywords

Bootstrap method; Financial markets; High frequency data; Lead lag correlations; Statistically validated networks; Stock returns

Indexed keywords

EID: 84936891676     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697688.2015.1032545     Document Type: Article

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