A method of analyzing data exchange of at least one device includes feeding a plurality of data exchanged by the at least one device to a system for data exchange analysis that includes a deep learning algorithm. The deep learning algorithm includes at least an input layer, an output layer of the same size as the input layer, and hidden layers. Neurons of the hidden layers receive recurrently, at each time t, only a subset of the data exchanged by the at least one device up to time t, the subset of data comprising current data from time t and only a fraction of past data from time tpast to time t, with tpast