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In this paper, we propose a method for the detection of lead\u2013lag clusters of time series in multivariate systems. We demonstrate that the web of pairwise lead\u2013lag relationships between time series can be helpfully construed as a directed network, for which there exist suitable algorithms for the detection of pairs of lead\u2013lag clusters with high pairwise imbalance. Within our framework, we consider a number of choices for the pairwise lead\u2013lag metric and directed network clustering model components. Our framework is validated on both a synthetic generative model for multivariate lead\u2013lag time series systems and daily real-world US equity prices data. We showcase that our method is able to detect statistically significant lead\u2013lag clusters in the US equity market. We study the nature of these clusters in the context of the empirical finance literature on lead\u2013lag relations, and demonstrate how these can be used for the construction of predictive financial signals.<\/jats:p>","DOI":"10.1007\/s10994-022-06250-4","type":"journal-article","created":{"date-parts":[[2022,11,1]],"date-time":"2022-11-01T19:03:03Z","timestamp":1667329383000},"page":"4497-4538","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":35,"title":["Lead\u2013lag detection and network clustering for multivariate time series with an application to the US equity market"],"prefix":"10.1007","volume":"111","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-2396-9909","authenticated-orcid":false,"given":"Stefanos","family":"Bennett","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Mihai","family":"Cucuringu","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Gesine","family":"Reinert","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"297","published-online":{"date-parts":[[2022,11,1]]},"reference":[{"issue":"3","key":"6250_CR1","doi-asserted-by":"publisher","first-page":"929","DOI":"10.1111\/jofi.12021","volume":"68","author":"CS Asness","year":"2013","unstructured":"Asness, C. 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