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From Data Acquisition to Lag Modeling: Quantitative Exploration of A-Share Market with Low-Coupling System Design

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  • Jianyong Fang
  • Sitong Wu
  • Junfan Tong

Abstract

We propose a novel two-stage framework to detect lead-lag relationships in the Chinese A-share market. First, long-term coupling between stocks is measured via daily data using correlation, dynamic time warping, and rank-based metrics. Then, high-frequency data (1-, 5-, and 15-minute) is used to detect statistically significant lead-lag patterns via cross-correlation, Granger causality, and regression models. Our low-coupling modular system supports scalable data processing and improves reproducibility. Results show that strongly coupled stock pairs often exhibit lead-lag effects, especially at finer time scales. These findings provide insights into market microstructure and quantitative trading opportunities.

Suggested Citation

  • Jianyong Fang & Sitong Wu & Junfan Tong, 2025. "From Data Acquisition to Lag Modeling: Quantitative Exploration of A-Share Market with Low-Coupling System Design," Papers 2506.19255, arXiv.org.
    • Handle: RePEc:arx:papers:2506.19255
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    References listed on IDEAS

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