Emergence of statistically validated financial intraday lead-lag relationships

References

• Allez, R. and Bouchaud, J.P., Individual and collective stock dynamics: Intra-day seasonalities. New J. Phys., 2011, 13, 025010.
   Web of Science ®Google Scholar
• Aste, T., Shaw, W. and Di Matteo, T., Correlation structure and dynamics in volatile markets. New J. Phys., 2010, 12, 085009.
   Web of Science ®Google Scholar
• Benjamini, Y. and Hochberg, Y., Controlling the false discovery rate: A practical and powerful approach to multiple testing. J. Roy. Stat. Soc. Ser. B (Methodological), 1995, 289–300.
   Google Scholar
• Billio, M., Getmansky, M., Lo, A. and Pelizzon, L., Econometric measures of connectedness and systemic risk in the finance and insurance sectors. J. Financ. Econ., 2012, 104, 535–559.
   Web of Science ®Google Scholar
• Biroli, G., Bouchaud, J.P. and Potters, M., The student ensemble of correlation matrices: Eigenvalue spectrum and Kullback--Leibler entropy. Acta Phys. Pol. B, 2007, 38, 4009–4026.
   Google Scholar
• Bonanno, G., Caldarelli, G., Lillo, F. and Mantegna, R.N., Topology of correlation-based minimal spanning trees in real and model markets. Phys. Rev. E, 2003, 68, 046130.
   Web of Science ®Google Scholar
• Bonanno, G., Lillo, F. and Mantegna, R.N., High-frequency cross-correlation in a set of stocks. Quant. Finance, 2001, 1, 96–104.
   Google Scholar
• Borghesi, C., Marsili, M. and Miccichè, S., Emergence of time-horizon invariant correlation structure in financial returns by subtraction of the market mode. Phys. Rev. E, 2007, 76, 026104.
   Web of Science ®Google Scholar
• Campbell, R., Forbes, C., Koedijk, K. and Kofman, P., Increasing correlations or just fat tails? J. Emp. Finance, 2008, 15, 287–309.
   Web of Science ®Google Scholar
• Carbone, A., Detrending moving average algorithm: A brief review. Proceedings of the Science and Technology for Humanity (TIC-STH), 2009 IEEE Toronto International Conference, Toronto, ON, pp. 691–696, 2009.
   Google Scholar
• Cecchetti, S. and Kharroubi, E., Reassessing the impact of finance on growth. BIS Working Paper, 2012. Available online at SSRN: http://ssrn.com/abstract=2117753.
   Google Scholar
• Cizeau, P., Potters, M. and Bouchaud, J., Correlation structure of extreme stock returns. Quant. Finance, 2001, 1, 217–222.
   Web of Science ®Google Scholar
• Curme, C., Tumminello, M., Mantegna, R.N., Stanley, H.E. and Kenett, D.Y., How lead-lag correlations affect the intra-day pattern of collective stock dynamics. Manuscript in preparation.
   Google Scholar
• De Jong, F., Nijman, T. and Röell, A., Price effects of trading and components of the bid-ask spread on the Paris Bourse. J. Emp. Finance, 1996, 3, 193–213.
   Google Scholar
• Efron, B. and Tibshirani, R., An Introduction to the Bootstrap, Vol. 57, 1993 (CRC Press: Boca Raton, FL).
   Google Scholar
• Epps, T., Comovements in stock prices in the very short run. J. Am. Stat. Assoc., 1979, 291–298.
   Web of Science ®Google Scholar
• Forbes, K. and Rigobon, R., No contagion, only interdependence: Measuring stock market comovements. J. Finance, 2002, 57, 2223–2261.
   Web of Science ®Google Scholar
• Gopikrishnan, P., Plerou, V., Liu, Y., Amaral, L., Gabaix, X. and Stanley, H., Scaling and correlation in financial time series. Phys. A: Stat. Mech. Appl., 2000, 287, 362–373.
   Web of Science ®Google Scholar
• Gopikrishnan, P., Rosenow, B., Plerou, V. and Stanley, H., Quantifying and interpreting collective behavior in financial markets. Phys. Rev. E, 2001, 64, 035106.
   PubMed Web of Science ®Google Scholar
• Hall, R.E., Why does the economy fall to pieces after a financial crisis? J. Econ. Persp., 2010, 24, 3–20.
   Web of Science ®Google Scholar
• Havlin, S., Kenett, D.Y., Ben-Jacob, E., Bunde, A., Cohen, R., Hermann, H., Kantelhardt, J., Kert\’{e}sz, J., Kirkpatrick, S., Kurths, J., Portugali, J. and Solomon, S., Challenges in network science: Applications to infrastructures, climate, social systems and economics. Eur. Phys. J.-Special Topics, 2012, 214, 273–293.
   Web of Science ®Google Scholar
• Hayashi, T. and Yoshida, N., On covariance estimation of non-synchronously observed diffusion processes. Bernoulli, 2005, 11, 359–379.
   Web of Science ®Google Scholar
• Huth, N. and Abergel, F., High frequency lead/lag relationships--Empirical facts. J. Emp. Finance, 2014, 26, 41–58.
   Web of Science ®Google Scholar
• Kenett, D.Y., Preis, T., Gur-Gershgoren, G. and Ben-Jacob, E., Quantifying meta-correlations in financial markets. Europhys. Lett., 2012, 99, 38001.
   Google Scholar
• Kenett, D.Y., Raddant, M., Lux, T., Ben-Jacob, E., Evolvement of uniformity and volatility in the stressed global financial village. PloS One, 2012, 7, e31144.
   PubMed Web of Science ®Google Scholar
• Kenett, D.Y., Tumminello, M., Madi, A., Gur-Gershgoren, G., Mantegna, R.N. and Ben-Jacob, E., Dominating clasp of the financial sector revealed by partial correlation analysis of the stock market. PloS One, 2010, 5, e15032.
   PubMed Web of Science ®Google Scholar
• Kenney, J.F. and Keeping, E.S., Mathematics of Statistics, Part 2, 2nd ed, 1962 (D. Van Nostrand Company Inc.: Princeton, NJ).
   Google Scholar
• Laloux, L., Cizeau, P., Potters, M. and Bouchaud, J., Random matrix theory and financial correlations. Int. J. Theor. Appl. Finance, 2000, 3, 391–398.
   Google Scholar
• Lo, A.W. and MacKinlay, A.C., Stock market prices do not follow random walks: Evidence from a simple specification test. Rev. Financ. Stud., 1988, 1, 41–66.
   Web of Science ®Google Scholar
• Malkiel, B.G., The efficient market hypothesis and its critics. J. Econ. Persp., 2003, 17, 59–82.
   Web of Science ®Google Scholar
• Malkiel, B.G. and Fama, E.F., Efficient capital markets: A review of theory and empirical work. J. Finance, 1970, 25, 383–417.
   Web of Science ®Google Scholar
• Mantegna, R.N., Hierarchical structure in financial markets. Eur. Phys. J. B-Cond. Matter Comp. Syst., 1999, 11, 193–197.
   Web of Science ®Google Scholar
• Milo, R., Shen-Orr, S., Itzkovitz, S., Kashtan, N., Chklovskii, D. and Alon, U., Network motifs: Simple building blocks of complex networks. Science, 2002, 298, 824–827.
   PubMed Web of Science ®Google Scholar
• Munnix, M., Schafer, R. and Guhr, T., Impact of the tick-size on financial returns and correlations. Phys. A: Stat. Mech. Appl., 2010, 389, 4828–4843.
   Web of Science ®Google Scholar
• Onnela, J., Chakraborti, A., Kaski, K. and Kertesz, J., Dynamic asset trees and Black Monday. Phys. A: Stat. Mech. Appl., 2003, 324, 247–252.
   Web of Science ®Google Scholar
• Podobnik, B. and Stanley, H.E., Detrended cross-correlation analysis: A new method for analyzing two nonstationary time series. Phys. Rev. Lett., 2008, 100, 084102-1–084102-4.
   Web of Science ®Google Scholar
• Pollet, J. and Wilson, M., Average correlation and stock market returns. J. Financ. Econ., 2010, 96, 364–380.
   Web of Science ®Google Scholar
• Shmilovici, A., Alon-Brimer, Y. and Hauser, S., Using a stochastic complexity measure to check the efficient market hypothesis. Comput. Econ., 2003, 22, 273–284.
   Google Scholar
• Song, D.M., Tumminello, M., Zhou, W.X. and Mantegna, R.N., Evolution of worldwide stock markets, correlation structure, and correlation-based graphs. Phys. Rev. E, 2011, 84, 026108.
   Web of Science ®Google Scholar
• Tobin, J., A general equilibrium approach to monetary theory. J. Money Credit Bank., 1969, 1, 15–29.
   Google Scholar
• Toth, B. and Kertesz, J., The Epps effect revisited. Quant. Finance, 2009, 9, 793–802.
   Web of Science ®Google Scholar
• Tumminello, M., Aste, T., Di Matteo, T. and Mantegna, R.N., A tool for filtering information in complex systems. Proc. Nat. Acad. Sci. USA, 2005, 102, 10421–10426.
   PubMed Web of Science ®Google Scholar
• Tumminello, M., Coronnello, C., Lillo, F., Miccichè, S. and Mantegna, R.N., Spanning trees and bootstrap reliability estimation in correlation based networks. Int. J. Bifurcat. Chaos, 2007, 17, 2319–2329.
   Web of Science ®Google Scholar
• Tumminello, M., Di Matteo, T., Aste, T. and Mantegna,, R.N., Correlation based networks of equity returns sampled at different time horizons. Eur. Phys. J. B-Cond. Matter Comp. Syst., 2007, 55, 209–217.
   Web of Science ®Google Scholar
• Tumminello, M., Lillo, F. and Mantegna, R.N., Correlation, hierarchies, and networks in financial markets. J. Econ. Behav. Org., 2010, 75, 40–58.
   Web of Science ®Google Scholar
• Tumminello, M., Miccichè, S., Lillo, F., Piilo, J. and Mantegna, R.N., Statistically validated networks in bipartite complex systems. PloS One, 2011, 6, e17994.
   PubMed Web of Science ®Google Scholar