英文标题：
《Lead-lag Relationships in Foreign Exchange Markets》
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作者：
Lasko Basnarkov, Viktor Stojkoski, Zoran Utkovski and Ljupco Kocarev
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最新提交年份：
2019
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英文摘要：
  Lead-lag relationships among assets represent a useful tool for analyzing high frequency financial data. However, research on these relationships predominantly focuses on correlation analyses for the dynamics of stock prices, spots and futures on market indexes, whereas foreign exchange data have been less explored. To provide a valuable insight on the nature of the lead-lag relationships in foreign exchange markets here we perform a detailed study for the one-minute log returns on exchange rates through three different approaches: i) lagged correlations, ii) lagged partial correlations and iii) Granger causality. In all studies, we find that even though for most pairs of exchange rates lagged effects are absent, there are many pairs which pass statistical significance tests. Out of the statistically significant relationships, we construct directed networks and investigate the influence of individual exchange rates through the PageRank algorithm. The algorithm, in general, ranks stock market indexes quoted in their respective currencies, as most influential. In contrast to the claims of the efficient market hypothesis, these findings suggest that all market information does not spread instantaneously.
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中文摘要：
资产之间的超前-滞后关系是分析高频财务数据的有用工具。然而，对这些关系的研究主要集中于对股票价格、现货和期货市场指数动态的相关性分析，而对外汇数据的研究较少。为了对外汇市场中的超前-滞后关系的性质提供有价值的见解，我们通过三种不同的方法对汇率的一分钟对数回报进行了详细研究：i）滞后相关性，ii）滞后部分相关性和iii）格兰杰因果关系。在所有研究中，我们发现，尽管大多数对汇率都没有滞后效应，但仍有许多对通过了统计显著性检验。在统计显著关系之外，我们构建了有向网络，并通过PageRank算法研究了个人汇率的影响。一般来说，该算法将以各自货币报价的股市指数列为最具影响力的指数。与有效市场假说的主张相反，这些发现表明，所有市场信息都不会瞬间传播。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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