{"paper":{"title":"Estimation of the lead-lag parameter from non-synchronous data","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["stat.TH"],"primary_cat":"math.ST","authors_text":"M. Hoffmann, M. Rosenbaum, N. Yoshida","submitted_at":"2013-03-20T08:36:34Z","abstract_excerpt":"We propose a simple continuous time model for modeling the lead-lag effect between two financial assets. A two-dimensional process $(X_t,Y_t)$ reproduces a lead-lag effect if, for some time shift $\\vartheta\\in \\mathbb{R}$, the process $(X_t,Y_{t+\\vartheta})$ is a semi-martingale with respect to a certain filtration. The value of the time shift $\\vartheta$ is the lead-lag parameter. Depending on the underlying filtration, the standard no-arbitrage case is obtained for $\\vartheta=0$. We study the problem of estimating the unknown parameter $\\vartheta\\in \\mathbb{R}$, given randomly sampled non-sy"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1303.4871","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}