论文标题
返回驱动的宏观制度和资产类别之间的特征铅滞后行为
Returns-Driven Macro Regimes and Characteristic Lead-Lag Behaviour between Asset Classes
论文作者
论文摘要
我们通过在属于不同资产类别的索引的时间内聚类相对性能来定义数据驱动的宏观经济制度。然后，我们研究所确定的政权内的铅滞后关系。我们的研究分散了不同窗口的市场特征，并在这些知识上利用了这些知识的利用，以突出市场趋势或风险，这些趋势或风险对于经常性的市场发展而言是有益的。开发的框架还为多个可能的扩展奠定了基础。
We define data-driven macroeconomic regimes by clustering the relative performance in time of indices belonging to different asset classes. We then investigate lead-lag relationships within the regimes identified. Our study unravels market features characteristic of different windows in time and leverages on this knowledge to highlight market trends or risks that can be informative with respect to recurrent market developments. The framework developed also lays the foundations for multiple possible extensions.
