Damien Challet, Laboratoire de Mathématiques et Informatique pour la Complexité et les Systèmes
Fast information transfer detection between asynchronous time series
Transfer Entropy (TE) from timeseries B to A measures how much information time series B adds to the prediction of time series A. We first recall asymptotic results for a test of TE, then introduce TE for asynchronous time-series such as limit order book events, and finally use time-shifting to characterize the typical time needed for information transmission between two limit order books or two exchanges, and the typical delay after which no information transmission takes place.
This is joint work with Christian Bongiorno