Dear Michael, David Ruelle wrote a very interesting paper on "Recurrence plots of dynamical Systems" that you should read, and I remember of simples lead/lags methods to detect random or determinist systems.
I think that you should take a look at this very interesting paper on "Lead-lag cross-sectional structure and detection of correlated-anticorrelated regime shifts": http://tinyurl.com/b6cw5m Regards. Sylvain __________________________________________ Sylvain Barthélémy Research Director, TAC Applied Economic & Financial Research Tel: +33.(0).299.393.140 - Fax: +33.(0).299.393.189 E-mail: ba...@tac-financial.com www.tac-financial.com | www.sylbarth.com -----Message d'origine----- De : r-sig-finance-boun...@stat.math.ethz.ch [mailto:r-sig-finance-boun...@stat.math.ethz.ch] De la part de Michael Envoyé : jeudi 22 janvier 2009 02:18 À : r-help; r-sig-fina...@stat.math.ethz.ch Objet : [R-SIG-Finance] how to study the lead and lag relation of two time series? Hi all, Is there a way to study the lead and lag relation of two time series? Let's say I have two time series, At and Bt. Is there a systematic way of concluding whether it's A leading B or B leading A and by how much? Thanks! _______________________________________________ r-sig-fina...@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. -- If you want to post, subscribe first. No virus found in this incoming message. Checked by AVG - http://www.avg.com 21/01/2009 21:15 ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
