Testing for Causality in Continuous Time Bayesian Network Models of   High-Frequency Data
  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. 
Jonas Hallgren, Timo Koski
stat.ML q-fin.TR