3 papers
stat.ML2022
RbX: Region-based explanations of prediction models
Ismael Lemhadri, Harrison H. Li, Trevor Hastie
We introduce region-based explanations (RbX), a novel, model-agnostic method to generate local explanations of scalar outputs from a black-box prediction model using only query acc…
cs.SI2021
A Graph Approach to Simulate Twitter Activities with Hawkes Processes
Ao Qu, Ismael Lemhadri
The rapid growth of social media has been witnessed during recent years as a result of the prevalence of the internet. This trend brings an increasing interest in simulating social…
q-fin.TR2018
Market Impact in a Latent Order Book
Ismael Lemhadri
The latent order book of \cite{donier2015fully} is one of the most promising agent-based models for market impact. This work extends the minimal model by allowing agents to exhibit…