Information-theoretic measures for non-linear causality detection: application to social media sentiment and cryptocurrency prices. (arXiv:1906.05740v1 [physics.data-an])

Information transfer between time series is calculated by using the asymmetric information-theoretic measure known as transfer entropy. Geweke's autoregressive formulation of Granger causality is used to find linear transfer entropy, and Schreiber's general, non-parametric, information-theoretic formulation is used to detect non-linear transfer entropy.