STATISTICALLY VALIDATED LEAD-LAG NETWORKS AND INVENTORY PREDICTION IN THE FOREIGN EXCHANGE MARKET

DOI10.1142/S0219525918500194arXiv1609.04640OpenAlexW2884504691WikidataQ129244015 ScholiaQ129244015MaRDI QIDQ6203296

Serge Kassibrakis, Rémy Chicheportiche, Damien Challet, Mehdi Lallouache

Publication date: 27 March 2024

Published in: Advances in Complex Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.04640

zbMATH Keywords

predictionforeign exchangeinventory managementlead-lag networkstrader-resolved data

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (3)

Analysis of exchange rates as time-inhomogeneous Markov chain with finite states ⋮ Unveiling the relation between herding and liquidity with trader lead-lag networks ⋮ The market nanostructure origin of asset price time reversal asymmetry

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• Emergence of statistically validated financial intraday lead-lag relationships
• Random forests

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