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arXiv · 2506.19255

From Data Acquisition to Lag Modeling: Quantitative Exploration of A-Share Market with Low-Coupling System Design

Jianyong Fang·Sitong Wu·Junfan Tong
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Abstract

We propose a novel two-stage framework to detect lead-lag relationships in the Chinese A-share market. First, long-term coupling between stocks is measured via daily data using correlation, dynamic time warping, and rank-based metrics. Then, high-frequency data (1-, 5-, and 15-minute) is used to detect statistically significant lead-lag patterns via cross-correlation, Granger causality, and regression models. Our low-coupling modular system supports scalable data processing and improves reproducibility. Results show that strongly coupled stock pairs often exhibit lead-lag effects, especially at finer time scales. These findings provide insights into market microstructure and quantitative trading opportunities.

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Jianyong Fang, Sitong Wu, Junfan Tong. 2025-06-24. From Data Acquisition to Lag Modeling: Quantitative Exploration of A-Share Market with Low-Coupling System Design. https://arxiv.org/abs/2506.19255

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