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Does anyone here has a code for HY estimator, preferably in python?

I have written a very basic code in python but my results are weird. When I run it for two liquid assets traded on two different exchanges simultaneously, I get a correlation of only 0.8% and a lead/analysis shows a kink at 1-sec. It is the same asset trading in two places so the correlation has to be fairly significant and 1-sec of lead/lag is very very unlikely. I was wondering if someone can help or share a few pointers?

I know of the yuima library in R which implements this, but my knowledge of R minimal and hence looking for some help.

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  • $\begingroup$ What is the HY estimator? You could please bring more details on that (reference to the page or equation in the quoted paper) as I could not find any reference of "HY" in the paper... $\endgroup$ – JejeBelfort Jul 26 '17 at 7:50
  • $\begingroup$ HY estimator is Hayashi-Yoshida estimator, used to find correlation between asynchronous time series data. I've updated the link with an explicit implementation of the paper $\endgroup$ – nimbus3000 Jul 27 '17 at 8:29
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Unfortunately for you (but maybe helpful to others) I can only refer to R packages.

The R package high-frequency (link) provides rHYCov. The synchrony package (link) provides a whole plethora of methods for temporal, spatial and spatio-temporal statistics.

Furthermore, I would personally advise against HY for its boundary artefacts and instead use something more robust like cross-correlation with the Bjornstad-Falck kernel.

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  • $\begingroup$ Thanks a lot for the reply, I will look in to Bjornstad-Falck kernel. In the meantime, can you tell me what kind of numbers do you get/expect for correlation for same assets that trade on different venues at the same time $\endgroup$ – nimbus3000 Jul 28 '17 at 11:54
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    $\begingroup$ I'm doing 4-fold oversampling, so if the mean arrival time is 100 ms, I'm looking for leads/lags with 25 ms resolution, I then get a correlation of about 0.95 to 0.99 on the main lag, 0.90 to 0.92 on the first side lags, 0.40 to 0.60 on the second side lags. $\endgroup$ – hroptatyr Jul 28 '17 at 13:03
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    $\begingroup$ Oh, I forgot to mention that Bjornstad-Falck is quite a bit slower, just in case you need it for low-latency HFT. $\endgroup$ – hroptatyr Jul 28 '17 at 13:04

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