Continuous time Bayesian networks are investigated with a special focus on their ability to express causality. A framework is presented for doing inference in these networks. The central contributions are a representation of the intensity matrices for the networks and the introduction of a causality measure. A new model for high-frequency financial data is presented. It is calibrated to market data and by the new causality measure it performs better than older models.
@article{arxiv.1601.06651,
title = {Testing for Causality in Continuous Time Bayesian Network Models of High-Frequency Data},
author = {Jonas Hallgren and Timo Koski},
journal= {arXiv preprint arXiv:1601.06651},
year = {2016}
}