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Returns-Driven Macro Regimes and Characteristic Lead-Lag Behaviour between Asset Classes

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  • Deborah Miori
  • Mihai Cucuringu

Abstract

We define data-driven macroeconomic regimes by clustering the relative performance in time of indices belonging to different asset classes. We then investigate lead-lag relationships within the regimes identified. Our study unravels market features characteristic of different windows in time and leverages on this knowledge to highlight market trends or risks that can be informative with respect to recurrent market developments. The framework developed also lays the foundations for multiple possible extensions.

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  • Deborah Miori & Mihai Cucuringu, 2022. "Returns-Driven Macro Regimes and Characteristic Lead-Lag Behaviour between Asset Classes," Papers 2209.00268, arXiv.org, revised Sep 2022.
    • Handle: RePEc:arx:papers:2209.00268
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    File URL: http://arxiv.org/pdf/2209.00268
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    References listed on IDEAS

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    7. Gautier Marti & Sébastien Andler & Frank Nielsen & Philippe Donnat, 2016. "Clustering Financial Time Series: How Long is Enough?," Post-Print hal-01400395, HAL.
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    Cited by:

    1. Yichi Zhang & Mihai Cucuringu & Alexander Y. Shestopaloff & Stefan Zohren, 2023. "Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models," Papers 2305.06704, arXiv.org, revised Sep 2023.

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