Lead-lag detection and network clustering for multivariate time series with an application to the US equity market. (arXiv:2201.08283v1 [stat.ML])

In multivariate time series systems, it has been observed that certain groups
of variables partially lead the evolution of the system, while other variables
follow this evolution with a time delay; the result is a lead-lag structure
amongst the time series variables. In this paper, we propose a method for the
detection of lead-lag clusters of time series in multivariate systems. We
demonstrate that the web of pairwise lead-lag relationships between time series
can be helpfully construed as a directed …

application arxiv clustering detection equity ml network time time series us