Statistically validated leadlag networks and inventory prediction in the foreign exchange market
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DOI: 10.1142/S0219525918500194
Note: View the original document on HAL open archive server: https://hal.science/hal-01705087
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- Damien Challet & R'emy Chicheportiche & Mehdi Lallouache & Serge Kassibrakis, 2016. "Statistically validated lead-lag networks and inventory prediction in the foreign exchange market," Papers 1609.04640, arXiv.org, revised Jul 2018.
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"Deep Prediction of Investor Interest: a Supervised Clustering Approach,"
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- Baptiste Barreau & Laurent Carlier & Damien Challet, 2021. "Deep Prediction Of Investor Interest: a Supervised Clustering Approach," Post-Print hal-02276055, HAL.
- Challet, Damien & Bongiorno, Christian & Pelletier, Guillaume, 2021.
"Financial factors selection with knockoffs: Fund replication, explanatory and prediction networks,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
- Damien Challet & Christian Bongiorno & Guillaume Pelletier, 2021. "Financial factors selection with knockoffs: fund replication, explanatory and prediction networks," Post-Print hal-03165842, HAL.
- Damien Challet & Christian Bongiorno & Guillaume Pelletier, 2021. "Financial factors selection with knockoffs: fund replication, explanatory and prediction networks," Papers 2103.05921, arXiv.org.
- Marcus Cordi & Serge Kassibrakis & Damien Challet, 2018.
"The market nanostructure origin of asset price time reversal asymmetry,"
Working Papers
hal-01966419, HAL.
- Marcus Cordi & Damien Challet & Serge Kassibrakis, 2019. "The market nanostructure origin of asset price time reversal asymmetry," Papers 1901.00834, arXiv.org.
- Baptiste Barreau & Laurent Carlier & Damien Challet, 2019.
"Deep Prediction of Investor Interest: a Supervised Clustering Approach,"
Papers
1909.05289, arXiv.org, revised Feb 2021.
- Baptiste Barreau & Laurent Carlier & Damien Challet, 2019. "Deep Prediction Of Investor Interest: a Supervised Clustering Approach," Working Papers hal-02276055, HAL.
- Baltakienė, Margarita & Kanniainen, Juho & Baltakys, Kęstutis, 2021. "Identification of information networks in stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 131(C).
- Marcus Cordi & Damien Challet & Serge Kassibrakis, 2021.
"The market nanostructure origin of asset price time reversal asymmetry,"
Quantitative Finance, Taylor & Francis Journals, vol. 21(2), pages 295-304, February.
- Marcus Cordi & Damien Challet & Serge Kassibrakis, 2018. "The market nanostructure origin of asset price time reversal asymmetry," Post-Print hal-01966419, HAL.
- Marcus Cordi & Damien Challet & Serge Kassibrakis, 2019. "The market nanostructure origin of asset price time reversal asymmetry," Papers 1901.00834, arXiv.org, revised Apr 2020.
- Chen, Zhang-HangJian & Wu, Wang-Long & Li, Sai-Ping & Bao, Kun & Koedijk, Kees G., 2024. "Social media information diffusion and excess stock returns co-movement," International Review of Financial Analysis, Elsevier, vol. 91(C).
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More about this item
Keywords
lead-lag networks; trader-resolved data; foreign exchange; prediction; inventory management;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-GEN-2020-05-11 (Gender)
- NEP-MST-2020-05-11 (Market Microstructure)
- NEP-NET-2020-05-11 (Network Economics)
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