Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/167894
Authors: 
Maier-Paape, Stanislaus
Platen, Andreas
Year of Publication: 
2016
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 4 [Year:] 2016 [Issue:] 3 [Pages:] 1-20
Abstract: 
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.
Subjects: 
lead-lag relationship
intermarket analysis
local extrema
empirical distribution
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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