most citedStatistically validated lead-lag networks and inventory prediction in the foreign exchange market

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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…