I am trying to find a good algo (low latency) that is able to take two time series and determine which one is leading on the other one if any. The time series do not necessarily have the same timestamp. There is a thing called the granger 'causality' test that gives an idea, but in my case (have in mind the trades from a financial asset traded on two different exchanges) I would like to think there is a player (a mover say) that chooses to trade on a certain exchange that will generate this lead, but obviously, this can change. Could anyone point me to some papers on the subject or libraries (preferably in python) that wish to solve this problem?



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