Mehdi Lallouache

Ecole Centrale Paris

Paris

France

SCHOLARLY PAPERS

3

DOWNLOADS

416

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

The Limits of Statistical Significance of Hawkes Processes Fitted to Financial Data

Quantitative Finance, vol 16, number 1, pages 1-11, 2016
Number of pages: 15 Posted: 14 Jun 2014 Last Revised: 24 May 2016
Mehdi Lallouache and Damien Challet
Ecole Centrale Paris and CentraleSupélec
Downloads 165 (180,518)

Abstract:

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Hawkes process, Endogeneity, Order flow, Estimation

2.

Tick Size Reduction and Price Clustering in a FX Order Book

Physica A, Volume 416, 15 December 2014, Pages 488-498
Number of pages: 16 Posted: 24 Jul 2013 Last Revised: 29 Sep 2014
Mehdi Lallouache and Frederic Abergel
Ecole Centrale Paris and BNP Paribas AM
Downloads 144 (202,183)
Citation 1

Abstract:

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Market microstructure, Foreign exchange, Order book, Order flow, Price clustering, Tick size

3.

Trader Lead-Lag Networks and Order Flow Prediction

Number of pages: 21 Posted: 18 Sep 2016
CentraleSupélec, Ecole Centrale Paris, Ecole Centrale Paris and Swissquote Bank
Downloads 107 (253,182)
Citation 2

Abstract:

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order flow, lead-lag, machine learning, prediction, networks