Dynamic Time Warping for Lead-Lag Relationships in Lagged Multi-Factor Models
“Since multivariate time series are ubiquitous in a wide range of domains, we demonstrate that our algorithm is able to robustly detect lead-lag relationships in financial markets, which can be subsequently leveraged in trading strategies with significant economic benefits.”
StrategyFactor investing
TechniqueLinear factor model
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
Institutional-grade audit of this strategy.
£5 — Request the audit- Audit of the paper claims accounting for costs, luck, crises, originality, geography, etc.
- Reproduction code integratable into Bloomberg, IBKR, etc.
- Bias-free datasets for backtesting included
- Delivered in 2 working days
The paper's neighbourhoodFactor investing by year
FamilyFactor investing240Momentum and trend following289Machine learning return prediction153News sentiment and text signals14818 more · 854
AssetEquities196
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
| A Common Rough Latent State in Conditional Factor Pricing: Rethinking the Fama-French Five-Factor Model by Kamdem | 2026 | ||||
| A Bipartite Graph Approach to U.S.-China Cross-Market Return Forecasting by Liu et al. | 2026 | ||||
| Welcome to the Factor Zoo: Where Mutual Fund Alpha Hides by Malakhov | 2026 | ||||
| The Efficient Cross-Section is Sparse: Factor Timing and the Dimension of the SDF by Mehrabinia | 2026 | ||||
| Fraud Avoidance as Alpha: Multi-Factor Screening in Micro-Cap Cryptocurrency Markets with Temporal Out-of-Sample Evaluation, Walk-Forward Validation, and Concept Drift Analysis by Blege | 2026 |