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.TR2016
Statistically validated lead-lag networks and inventory prediction in the foreign exchange market
Damien Challet, Rémy Chicheportiche, Mehdi Lallouache +1
We introduce a method to infer lead-lag networks of agents' actions in complex systems. These networks open the way to both microscopic and macroscopic states prediction in such sy…