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A Decadal Analysis of the Lead-Lag Effect in the NYSE

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  • Aarush Pratik Sheth
  • Jonah Riley Weinbaum
  • Kevin Javier Zvonarek

Abstract

As is widely known, the stock market is a complex system in which a multitude of factors influence the performance of individual stocks and the market as a whole. One method for comprehending -- and potentially predicting -- stock market behavior is through network analysis, which can offer insights into the relationships between stocks and the overall market structure. In this paper, we seek to address the question: Can network analysis of the stock market, specifically in observation of the lead-lag effect, provide valuable insights for investors and market analysts?

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  • Aarush Pratik Sheth & Jonah Riley Weinbaum & Kevin Javier Zvonarek, 2023. "A Decadal Analysis of the Lead-Lag Effect in the NYSE," Papers 2312.10084, arXiv.org.
    • Handle: RePEc:arx:papers:2312.10084
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    References listed on IDEAS

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    1. Reginald D. Smith, 2009. "The Spread of the Credit Crisis: View from a Stock Correlation Network," Papers 0901.1392, arXiv.org, revised Jun 2009.
    2. Namaki, A. & Shirazi, A.H. & Raei, R. & Jafari, G.R., 2011. "Network analysis of a financial market based on genuine correlation and threshold method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3835-3841.
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