# Code for HY Estimator

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.

• 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... – JejeBelfort Jul 26 '17 at 7:50
• 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 – nimbus3000 Jul 27 '17 at 8:29

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.