lead-lag

English

Noun

lead-lag (usually uncountable, plural lead-lags)

1. (economics, often attributive) A cross-correlation of one leading variable with the values of another lagging variable at later times.
   • 2017 July 26, María Isabel Cambóna, Maria Andreea Vaduva, “Lead-lag patterns in the Spanish and other European equity markets”, in The Spanish Review of Financial Economics, volume 15, number 2, →DOI, pages 63-77:

     Some of these studies, based on behavioural finance, state that the information diffusion process is relevant in the predictability of stock prices. The rate of reaction to news plays an important role in the lead-lag effect.

   • 2022 September 30, Cédric Poutré, Georges Dionne, Gabriel Yergeau, “The Profitability of Lead-Lag Arbitrage at High-Frequency”, in Social Science Research Network, →DOI:

     We utilize robust lead-lag indicators to uncover the origin of price discovery and we propose an econometric model exploiting that effect with level 1 data of limit order books (LOB).

   • 2023 January 17, Ana Monteiro, Nuno Silva, Helder Sebastião, “Industry return lead-lag relationships between the US and other major countries”, in Financial Innovation, volume 9, number 40, →DOI:

     Whereas industry lead-lag effects were stronger among small, thinly traded stocks with low analyst coverage, geographic lead-lags were unrelated to these proxies for investor scrutiny.

   • 2023 December 11, Aarush Pratik Sheth, Jonah Riley Weinbaum, Kevin Javier Zvonarek, “A Decadal Analysis of the Lead-Lag Effect in the NYSE”, in ArXiv, →DOI:

     We realize that the lead-lag relationship is a "strategy-enhancer," but not a strategy in itself.

Further reading

• lead-lag on Wikipedia.Wikipedia