14 citations · 14 across the 2 of their papers we have counts for
4 papers
Market Impact: A Systematic Study of Limit Orders
Emilio Said, Ahmed Bel Hadj Ayed, Alexandre Husson +1
This paper is devoted to the important yet little explored subject of the market impact of limit orders. Our analysis is based on a proprietary database of metaorders - large order…
Robustness of mathematical models and technical analysis strategies
Ahmed Bel Hadj Ayed, Grégoire Loeper, Frédéric Abergel
The aim of this paper is to compare the performances of the optimal strategy under parameters mis-specification and of a technical analysis trading strategy. The setting we conside…
Do Google Trend data contain more predictability than price returns?
Damien Challet, Ahmed Bel Hadj Ayed
Using non-linear machine learning methods and a proper backtest procedure, we critically examine the claim that Google Trends can predict future price returns. We first review the…
Predicting financial markets with Google Trends and not so random keywords
Damien Challet, Ahmed Bel Hadj Ayed
We check the claims that data from Google Trends contain enough data to predict future financial index returns. We first discuss the many subtle (and less subtle) biases that may a…