45 citations · 45 across the 1 of their papers we have counts for
2 papers
q-fin.TR2016
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…
stat.AP2012★ 45 cited
Weighted Kolmogorov-Smirnov test: Accounting for the tails
Rémy Chicheportiche, Jean-Philippe Bouchaud
Accurate goodness-of-fit tests for the extreme tails of empirical distributions is a very important issue, relevant in many contexts, including geophysics, insurance, and finance.…