Selecting stock pairs for pairs trading while incorporating lead–lag relationship
Author:
Funder
IIT Delhi, India
Publisher
Elsevier BV
Subject
Condensed Matter Physics,Statistics and Probability
Reference31 articles.
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3. Using Multi-Dimensional Dynamic Time Warping to Identify Time-Varying Lead-Lag Relationships;Sensors;2022-09-12
4. Detecting the lead–lag effect in stock markets: definition, patterns, and investment strategies;Financial Innovation;2022-05-20
5. A Multi-market Comparison of the Intraday Lead–Lag Relations Among Stock Index-Based Spot, Futures and Options;Computational Economics;2022-05-14
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