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MRA-Based Lead-Lag Trading Strategy in US Equities

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Academic paper

Multireference Alignment for Lead-Lag Detection in Multivariate Time Series and Equity Trading

AuthorsDanni Shi; Mihai Cucuringu; Jan-Peter Calliess

Institute
  • University of Oxford
  • Quantitative BioSciences
  • University of Oxford - Department of Engineering Science
  • University of Oxford - Oxford-Man Institute of Quantitative Finance, Students
  • University of California, Los Angeles
  • The Alan Turing Institute
  • University of California, Los Angeles (UCLA) - Department of Mathematics
  • University of Oxford - Department of Statistics
  • University of Oxford - Oxford-Man Institute of Quantitative Finance
  • Oxford-Man Institute of Quantitative Finance

Paper linkhttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=4560780

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