Mehdi Lallouache

Coordinates

• Room: C401A
• Email: mehdi.lallouache@ecp.fr
• Tel.:  +33-(0)141131028

   

Research interests

• foreign exchange market microstructure
• order flow modelling
• agent-based modelling in economics

Publications

• 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.

Talks

• 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.