{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,23]],"date-time":"2026-04-23T04:21:10Z","timestamp":1776918070874,"version":"3.51.2"},"reference-count":36,"publisher":"World Scientific Pub Co Pte Ltd","issue":"08","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Advs. Complex Syst."],"published-print":{"date-parts":[[2018,12]]},"abstract":"<jats:p>We introduce a method to infer lead-lag networks of agents\u2019 actions in complex systems. These networks open the way to both microscopic and macroscopic states prediction in such systems. We apply this method to trader-resolved data in the foreign exchange market. We show that these networks are remarkably persistent, which explains why and how order flow prediction is possible from trader-resolved data. In addition, if traders\u2019 actions depend on past prices, the evolution of the average price paid by traders may also be predictable. Using random forests, we verify that the predictability of both the sign of order flow and the direction of average transaction price is strong for retail investors at an hourly time scale, which is of great relevance to brokers and order matching engines. Finally, we argue that the existence of trader lead-lag networks explains in a self-referential way why a given trader becomes active, which is in line with the fact that most trading activity has an endogenous origin.<\/jats:p>","DOI":"10.1142\/s0219525918500194","type":"journal-article","created":{"date-parts":[[2018,9,20]],"date-time":"2018-09-20T03:57:05Z","timestamp":1537415825000},"page":"1850019","source":"Crossref","is-referenced-by-count":24,"title":["STATISTICALLY VALIDATED LEAD-LAG NETWORKS AND INVENTORY PREDICTION IN THE FOREIGN EXCHANGE MARKET"],"prefix":"10.1142","volume":"21","author":[{"given":"DAMIEN","family":"CHALLET","sequence":"first","affiliation":[{"name":"Laboratoire MICS, CentraleSup\u00e9lec, Universit\u00e9 Paris Saclay, 91190 Gif-sur-Yvette, France"},{"name":"Encelade Capital SA, EPFL Innovation Park, Building C, 1015 Lausanne, Switzerland"}]},{"given":"R\u00c9MY","family":"CHICHEPORTICHE","sequence":"additional","affiliation":[{"name":"Capital Fund Management, 23, rue de l\u2019Universit\u00e9, 75007 Paris, France"}]},{"given":"MEHDI","family":"LALLOUACHE","sequence":"additional","affiliation":[{"name":"BNP Paribas, 20, boulevard des Italiens, 75009 Paris, France"}]},{"given":"SERGE","family":"KASSIBRAKIS","sequence":"additional","affiliation":[{"name":"Swissquote Bank SA, chemin de la Cr\u00e9taux 33, 1196 Gland, Switzerland"}]}],"member":"219","published-online":{"date-parts":[[2019,1,31]]},"reference":[{"key":"S0219525918500194BIB001","doi-asserted-by":"publisher","DOI":"10.1080\/14697680701381228"},{"key":"S0219525918500194BIB002","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn046"},{"key":"S0219525918500194BIB003","doi-asserted-by":"crossref","first-page":"289","DOI":"10.1111\/j.2517-6161.1995.tb02031.x","volume":"57","author":"Benjamini Y.","year":"1995","journal-title":"J. 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