Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/167894 
Erscheinungsjahr: 
2016
Quellenangabe: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 4 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2016 [Pages:] 1-20
Verlag: 
MDPI, Basel
Zusammenfassung: 
The intermarket analysis, in particular the lead-lag relationship, plays an important role within financial markets. Therefore, a mathematical approach to be able to find interrelations between the price development of two different financial instruments is developed in this paper. Computing the differences of the relative positions of relevant local extrema of two charts, i.e., the local phase shifts of these price developments, gives us an empirical distribution on the unit circle. With the aid of directional statistics, such angular distributions are studied for many pairs of markets. It is shown that there are several very strongly correlated financial instruments in the field of foreign exchange, commodities and indexes. In some cases, one of the two markets is significantly ahead with respect to the relevant local extrema, i.e., there is a phase shift unequal to zero between them.
Schlagwörter: 
lead-lag relationship
intermarket analysis
local extrema
empirical distribution
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
1.16 MB





Publikationen in EconStor sind urheberrechtlich geschützt.