90 citations · 108 across the 6 of their papers we have counts for
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q-fin.TR2016★ 1 cited
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…
q-fin.TR2013★ 11 cited
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…