90 citations · 108 across the 6 of their papers we have counts for
6 papers
Statistically validated lead-lag networks and inventory prediction in the foreign exchange market
Damien Challet, Rémy Chicheportiche, Mehdi Lallouache +1
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 sy…
The limits of statistical significance of Hawkes processes fitted to financial data
Mehdi Lallouache, Damien Challet
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 m…
Tick Size Reduction and Price Clustering in a FX Order Book
Mehdi Lallouache, Frédéric Abergel
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…
Kinetic exchange models for social opinion formation
Mehdi Lallouache, Anirban Chakraborti, Bikas K. Chakrabarti
We propose a minimal model for the collective dynamics of opinion formation in the society, by modifying kinetic exchange dynamics studied in the context of income, money or wealth…
Opinion formation in the kinetic exchange models: Spontaneous symmetry breaking transition
Mehdi Lallouache, Anindya S. Chakrabarti, Anirban Chakraborti +1
We propose a minimal multi-agent model for the collective dynamics of opinion formation in the society, by modifying kinetic exchange dynamics studied in the context of income, mon…
Wealth distribution: To be or not to be a Gamma?
Mehdi Lallouache, Aymen Jedidi, Anirban Chakraborti
We review some aspects, especially those we can tackle analytically, of a minimal model of closed economy analogous to the kinetic theory model of ideal gases where the agents exch…