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q-fin.MF2022
SEC Form 13F-HR: Statistical investigation of trading imbalances and profitability analysis
Deborah Miori, Mihai Cucuringu
US Institutions with more than $100 million assets under management must disclose part of their long positions into the SEC Form 13F-HR on a quarterly basis. We consider the number…
q-fin.MF2022★ 4 cited
Returns-Driven Macro Regimes and Characteristic Lead-Lag Behaviour between Asset Classes
Deborah Miori, Mihai Cucuringu
We define data-driven macroeconomic regimes by clustering the relative performance in time of indices belonging to different asset classes. We then investigate lead-lag relationshi…