Hi,

I am trying to test lead/lag relationships between exchange data of 2
instruments.
The hypothesis is that one of the instruments leads the other.

I have data for both symbols to the microseconds.

<Time to Microseconds> <Symbol> <MidPrice>

2012-04-17 15:00:02.00395 "Symbol1" "100.1"
2012-04-17 15:00:02.00891 "Symbol2" "300.0"
2012-04-17 15:00:02.01941 "Symbol1" "100.3"
2012-04-17 15:00:02.01974 "Symbol1" "100.4"
2012-04-17 15:00:03.01048 "Symbol2" "300.5"
2012-04-17 15:00:03.05090 "Symbol2" "300.6"


I have looked at RTAQ package and also tried applying VECM.
RTAQ is more on a univariate time series while VECM is not significant on
these timescales.

Is there any package that can provide an analysis ?
-- 
Regards
Shoonya

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