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Chair of Quantitative Finance
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Mehdi Lallouache

Mehdi Lallouache
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Research interests
  • foreign exchange market microstructure
  • order flow modelling
  • agent-based modelling in economics
  • Statistically significant fits of Hawkes processes to financial data. M. Lallouache and D. Challet, (2014). SSRN.
  • Tick size reduction and price clustering in a FX order book. M. Lallouache and F. Abergel, Physica A, 416 (2014).  SSRN.
  • Opinion formation in kinetic exchange models: Spontaneous symmetry-breaking transition. M. Lallouache et al.Physical Review E 82, 056112 (2010). ArXiv.
  • Tick size reduction and price clustering in a FX order book, Quantitative Methods in Finance, Sydney, 12/2013.
  • Empirical properties of the interdealer FX market, IMA Conference on Mathematics in Finance, Edinburgh, 04/2013.


Chair of Quantitative Finance
Laboratoire de Mathématiques Appliquées aux Systèmes
École Centrale Paris

Grande Voie des Vignes
92290 Châtenay-Malabry
Tel.: +33 1 41 13 18 95
Email: sylvie.dervin@ecp.fr