Temporal Asymmetry in Precious Metals and Commodity Currencies: Conditional Lead-Lag Diagnostics on XAUUSD and AUDUSD
This whitepaper presents an exploratory investigation of temporal asymmetry and lead-lag relationships between gold (XAUUSD) and the Australian dollar (AUDUSD) across multiple temporal windows and market regimes. The study applies a multi-scale lead-lag diagnostic framework to examine whether movements in XAUUSD systematically precede corresponding movements in AUDUSD under different market conditions. The analysis incorporates timestamp alignment, matched-event construction, regime-based filtering, lead-lag detection across multiple bar windows, and permutation-based statistical testing. The results indicate a consistent XAUUSD-leading pattern across the tested lead-lag windows under the analyzed conditions. However, the findings are presented as exploratory evidence rather than as a confirmed generalizable relationship. Out-of-sample (OOS) validation is also examined. The study explicitly documents methodological limitations, including small test-sample sizes in some regimes and the use of full-sample regime thresholds during OOS validation, which introduces a mild look-ahead bias. Consequently, generalization of the observed patterns to other samples or market conditions is not yet confirmed. This work is intended to document an initial empirical exploration and provide a foundation for subsequent research. Future development may include stricter train-only regime threshold estimation, broader cross-asset testing, and evolutionary optimization for systematic discovery of lead-lag conditions.
Authors
- Freddy Agus Wibowo (ORCID: https://orcid.org/0009-0003-8121-8238)
Publication Details
- Journal
- Zenodo (CERN European Organization for Nuclear Research)
- Published
- 2026-09-30
- DOI
- https://doi.org/10.5281/zenodo.23062067
- Primary Topic
- Complex Systems and Time Series Analysis
- Type
- preprint