Using trader-resolved data, we bring to light lead-lag activity networks between groups of investors in the foreign exchange market at an hourly time scale. Because these relationships are systematic and persistent, they allow order flow prediction. We thus propose a generic method to exploit trader lead-lag and predict the sign of the total order ...
This paper is devoted to the important yet little explored subject of the market impact of limit orders. Our analysis is based on a proprietary database of metaorders - large orders that are split into smaller pieces before being sent to the market. We first address the case of aggressive limit orders and then, that of passive limit orders. In both...
We study the impact of the network topology on various market parameters (volatility, liquidity and efficiency) when three populations or artificial trades interact (Noise, Informed and Social Traders). We show, using an agent-based set of simulations that choosing a Regular, a Erdos-Renyi or a scale free network and locating on each vertex one Noi...
We argue that the risk of an asset is measured by the covariance of an asset's return with the return on the aggregate market and human capital. The intertemporal and consumption-based CAPM, along with an extended version of CAPM framework examines the excess return on Fama and French portfolios sorted on size-BE/ME and momentum across the economie...
Game Theory, Strategic Decision-making and Value Creation
For-profit certifier's eco-labelling is common in industries where firms have some “countervailing power” on sharing gains from labelling. We show that the certification standard for an environmental quality is lowered when firms have strong “power.” A certifier with too low bargaining power will prefer to sell to the best offer rather than bargain...
International audience
Published in Appetite
Social inequalities in diet are attributed to sociocultural determinants, economic constraints, and unequal access to healthy food. Fruits and vegetables are lacking in the diets of disadvantaged populations. The objective was to test the hypothesis that, in poor neighborhoods, community gardeners will have larger supply of healthy food, especially...
The paper investigates whether Southern Mediterranean and Middle Eastern markets under the Euro-Mediterranean Partnership (Egypt, Lebanon, Morocco, Malta, and Turkey) have become more financially integrated with the European stock market over time. The findings suggest that the Turkish equity market is moderately integrated with the European market...
