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How Lead-Lag Correlations Affect the Intraday Pattern of Collective Stock Dynamics

Author

Listed:
  • Chester Curme

    (Boston University)

  • Michele Tumminello

    (University of Palermo, Palermo, Italy)

  • Rosario N. Mantegna

    (University of Palermo, Palermo, Italy
    Central European University, Budapest, Hungary)

  • H. Eugene Stanley

    (Boston University)

  • Dror Y. Kenett

    (Office of Financial Research)

Abstract

This paper explores how the increasing correlation among intraday stock returns affects the possibility to diversify investment risk and potentially may affect market stability.

Suggested Citation

  • Chester Curme & Michele Tumminello & Rosario N. Mantegna & H. Eugene Stanley & Dror Y. Kenett, 2015. "How Lead-Lag Correlations Affect the Intraday Pattern of Collective Stock Dynamics," Working Papers 15-15, Office of Financial Research, US Department of the Treasury.
    • Handle: RePEc:ofr:wpaper:15-15
    as

    Download full text from publisher

    File URL: https://financialresearch.gov/working-papers/files/OFRwp-2015-15_Lead-Lag-Correlations.pdf
    File Function: First version, 2015
    Download Restriction: no
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    Citations

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    Cited by:

    1. Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
    2. Stefanos Bennett & Mihai Cucuringu & Gesine Reinert, 2022. "Lead-lag detection and network clustering for multivariate time series with an application to the US equity market," Papers 2201.08283, arXiv.org.

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