STATISTICALLY VALIDATED LEAD-LAG NETWORKS AND INVENTORY PREDICTION IN THE FOREIGN EXCHANGE MARKET

Autor: Serge Kassibrakis, Damien Challet, Mehdi Lallouache, Rémy Chicheportiche

Publikováno v: Advances in Complex Systems
Advances in Complex Systems, World Scientific, 2018, ⟨10.1142/S0219525918500194⟩

We introduce a method to infer lead-lag networks of agents' actions in complex systems. These networks open the way to both microscopic and macroscopic states prediction in such systems. We apply this method to trader-resolved data in the foreign exc

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f0b8433967b4b0ef49b0cbc397735662
https://doi.org/10.1142/s0219525918500194

The limits of statistical significance of Hawkes processes fitted to financial data

Autor: Damien Challet, Mehdi Lallouache

Publikováno v: Quantitative Finance
Quantitative Finance, Taylor & Francis (Routledge), 2016, 16 (1), pp.1-11. ⟨10.1080/14697688.2015.1068442⟩

International audience; Many fits of Hawkes processes to financial data look rather good but most of them are not statistically significant. This raises the question of what part of market dynamics this model is able to account for exactly. We docume

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7c84003a6d2c7a198e374ff50c214e43

Tick size reduction and price clustering in a FX order book

Autor: Mehdi Lallouache, Frédéric Abergel

Publikováno v: Physica A: Statistical Mechanics and its Applications
Physica A: Statistical Mechanics and its Applications, Elsevier, 2014, 416, pp.488-498. ⟨10.1016/j.physa.2014.09.016⟩

We investigate the statistical properties of the EBS order book for the EUR/USD and USD/JPY currency pairs and the impact of a ten-fold tick size reduction on its dynamics. A large fraction of limit orders are still placed right at or halfway between

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::deb28ee19d86a107a645c346016fe249
https://hal.archives-ouvertes.fr/hal-01006414

Empirical Properties of the Foreign Exchange Interdealer Market

Autor: Frédéric Abergel, Mehdi Lallouache

Publikováno v: SSRN Electronic Journal.

We investigate the statistical properties of the EBS order book for the EUR/USD and USD/JPY currency pairs and the impact of a ten-fold tick size reduction on its dynamics. A large fraction of limit orders are still placed right at or halfway between

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::8f5c65f0ce09348a2a43666d722ec83c
https://doi.org/10.2139/ssrn.2297292