Seminar on Probability and Statistics

Seminar information archive ~07/24Next seminarFuture seminars 07/25~

Organizer(s) Nakahiro Yoshida, Hiroki Masuda, Teppei Ogihara, Yuta Koike

2016/11/01

10:40-11:30   Room #123 (Graduate School of Math. Sci. Bldg.)
Yuta Koike (Tokyo Metropolitan University, JST CREST)
Wavelet-based methods for high-frequency lead-lag analysis
[ Abstract ]
We propose a novel framework to investigate the lead-lag effect between two financial assets. Our framework bridges a gap between continuous-time modeling based on Brownian motion and the existing wavelet methods for lead-lag analysis based on discrete-time models and enables us to analyze the multi-scale structure of lead-lag effects. We also present a statistical methodology for the scale-by-scale analysis of lead-lag effects in the proposed framework and develop an asymptotic theory applicable to a situation including stochastic volatilities and irregular sampling. Finally, we report several numerical experiments to demonstrate how our framework works in practice. This talk is based on a joint work of Prof. Takaki Hayashi (Keio University).