2 papers
q-fin.ST2019
The market nanostructure origin of asset price time reversal asymmetry
Marcus Cordi, Damien Challet, Serge Kassibrakis
We introduce a framework to infer lead-lag networks between the states of elements of complex systems, determined at different timescales. As such networks encode the causal struct…
q-fin.ST2017
Testing the causality of Hawkes processes with time reversal
Marcus Cordi, Damien Challet, Ioane Muni Toke
We show that univariate and symmetric multivariate Hawkes processes are only weakly causal: the true log-likelihoods of real and reversed event time vectors are almost equal, thus…