m**********s
发帖数: 87 | 1 For two asynchronous high frequency time series of prices, e.g., S&P and
NASDAQ, please design a test to check whether one is leading another? If in fact one leads the other, how to determine which one when?
这个完全没有头绪啊. 谢谢!! | c**a
发帖数: 316 | 2 算 相关函数不就行了？
至少信号处理里是这么搞得。
is
【在 m**********s 的大作中提到】
: For two asynchronous high frequency time series of prices, e.g., S&P and
: NASDAQ, please design a test to check whether one is leading another? If in fact one leads the other, how to determine which one when?
: 这个完全没有头绪啊. 谢谢!!
| m******o
发帖数: 10 | 3 you can try granger test
in fact one leads the other, how to determine which one when?
【在 m**********s 的大作中提到】
: For two asynchronous high frequency time series of prices, e.g., S&P and
: NASDAQ, please design a test to check whether one is leading another? If in fact one leads the other, how to determine which one when?
: 这个完全没有头绪啊. 谢谢!!
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