Damien Challet
Personal Details
First Name: | Damien |
Middle Name: | |
Last Name: | Challet |
Suffix: | |
RePEc Short-ID: | pch419 |
[This author has chosen not to make the email address public] | |
http://damien.challet.googlepages.com/research | |
Affiliation
Ecole Centrale Paris, Laboratoire de mathématiques appliquées aux systèmes
http://www.mas.ecp.frChâtenay-Malabry
Research output
Jump to: Working papers Articles BooksWorking papers
- Mohammed Salek & Damien Challet & Ioane Muni Toke, 2024.
"Equity auction dynamics: latent liquidity models with activity acceleration,"
Papers
2401.06724, arXiv.org, revised Jul 2024.
- Mohammed Salek & Damien Challet & Ioane Muni Toke, 2024. "Equity auction dynamics: latent liquidity models with activity acceleration," Working Papers hal-04391810, HAL.
- Baptiste Lefort & Eric Benhamou & Jean-Jacques Ohana & David Saltiel & Beatrice Guez & Damien Challet, 2024. "Can ChatGPT Compute Trustworthy Sentiment Scores from Bloomberg Market Wraps?," Papers 2401.05447, arXiv.org.
- Christian Bongiorno & Damien Challet, 2023.
"Covariance matrix filtering and portfolio optimisation: the Average Oracle vs Non-Linear Shrinkage and all the variants of DCC-NLS,"
Papers
2309.17219, arXiv.org.
- Christian Bongiorno & Damien Challet, 2023. "Covariance matrix filtering and portfolio optimisation: the Average Oracle vs Non-Linear Shrinkage and all the variants of DCC-NLS," Working Papers hal-04323624, HAL.
- Victor Le Coz & Iacopo Mastromatteo & Damien Challet & Michael Benzaquen, 2023.
"When is cross impact relevant?,"
Papers
2305.16915, arXiv.org, revised Mar 2024.
- Victor Le Coz & Iacopo Mastromatteo & Damien Challet & Michael Benzaquen, 2023. "When is cross impact relevant?," Working Papers hal-04234766, HAL.
- Mohammed Salek & Damien Challet & Ioane Muni Toke, 2023.
"Price impact in equity auctions: zero, then linear,"
Papers
2301.05677, arXiv.org, revised Sep 2023.
- Mohammed Salek & Damien Challet & Ioane Muni Toke, 2023. "Price impact in equity auctions: zero, then linear," Working Papers hal-03938660, HAL.
- Damien Challet & Vincent Ragel, 2023.
"Recurrent Neural Networks with more flexible memory: better predictions than rough volatility,"
Papers
2308.08550, arXiv.org.
- Damien Challet & Vincent Ragel, 2023. "Recurrent Neural Networks with more flexible memory: better predictions than rough volatility," Working Papers hal-04165354, HAL.
- Christian Bongiorno & Damien Challet & Grégoire Loeper, 2023. "Filtering time-dependent covariance matrices using time-independent eigenvalues," Post-Print hal-03481441, HAL.
- Christian Bongiorno & Damien Challet, 2023. "The Oracle estimator is suboptimal for global minimum variance portfolio optimisation," Post-Print hal-03491913, HAL.
- Christian Bongiorno & Damien Challet, 2022. "Statistical inference of lead-lag at various timescales between asynchronous time series from p-values of transfer entropy," Papers 2206.10173, arXiv.org.
- J'er'emi Assael & Laurent Carlier & Damien Challet, 2022.
"Dissecting the explanatory power of ESG features on equity returns by sector, capitalization, and year with interpretable machine learning,"
Papers
2201.04393, arXiv.org, revised Apr 2023.
- Jérémi Assael & Laurent Carlier & Damien Challet, 2023. "Dissecting the Explanatory Power of ESG Features on Equity Returns by Sector, Capitalization, and Year with Interpretable Machine Learning," JRFM, MDPI, vol. 16(3), pages 1-22, March.
- Jérémi Assael & Laurent Carlier & Damien Challet, 2023. "Dissecting the explanatory power of ESG features on equity returns by sector, capitalization, and year with interpretable machine learning," Post-Print hal-03791538, HAL.
- Christian Bongiorno & Damien Challet, 2021.
"Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimisation,"
Papers
2112.07521, arXiv.org, revised Oct 2022.
- Bongiorno, Christian & Challet, Damien, 2023. "Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization," Finance Research Letters, Elsevier, vol. 52(C).
- Christian Bongiorno & Damien Challet & Gr'egoire Loeper, 2021. "Cleaning the covariance matrix of strongly nonstationary systems with time-independent eigenvalues," Papers 2111.13109, arXiv.org, revised Mar 2023.
- Damien Challet & Christian Bongiorno & Guillaume Pelletier, 2021.
"Financial factors selection with knockoffs: fund replication, explanatory and prediction networks,"
Papers
2103.05921, arXiv.org.
- Challet, Damien & Bongiorno, Christian & Pelletier, Guillaume, 2021. "Financial factors selection with knockoffs: Fund replication, explanatory and prediction networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
- Damien Challet & Christian Bongiorno & Guillaume Pelletier, 2021. "Financial factors selection with knockoffs: fund replication, explanatory and prediction networks," Post-Print hal-03165842, HAL.
- Christian Bongiorno & Damien Challet, 2020.
"Nonparametric sign prediction of high-dimensional correlation matrix coefficients,"
Papers
2001.11214, arXiv.org.
- Christian Bongiorno & Damien Challet, 2021. "Nonparametric sign prediction of high-dimensional correlation matrix coefficients," Post-Print hal-02335586, HAL.
- Christian Bongiorno & Damien Challet, 2020.
"Covariance matrix filtering with bootstrapped hierarchies,"
Papers
2003.05807, arXiv.org.
- Christian Bongiorno & Damien Challet, 2021. "Covariance matrix filtering with bootstrapped hierarchies," PLOS ONE, Public Library of Science, vol. 16(1), pages 1-13, January.
- Christian Bongiorno & Damien Challet, 2021. "Covariance matrix filtering with bootstrapped hierarchies," Post-Print hal-02506848, HAL.
- Christian Bongiorno & Damien Challet, 2020.
"Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning,"
Papers
2005.08703, arXiv.org, revised Mar 2023.
- Christian Bongiorno & Damien Challet, 2022. "Reactive global minimum variance portfolios with k-BAHC covariance cleaning," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1344-1360, October.
- Christian Bongiorno & Damien Challet, 2021. "Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning," Post-Print hal-02612262, HAL.
- Kevin Primicerio & Damien Challet & Stanislao Gualdi, 2020.
"Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors,"
Post-Print
hal-04317258, HAL.
- Kevin Primicerio & Damien Challet & Stanislao Gualdi, 2021. "Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(1), pages 153-171, January.
- Damien Challet & Alessandro Pluchino & Alessio Emanuele Biondo & Andrea Rapisarda, 2020. "On the origins of extreme wealth inequality in the Talent vs Luck Model," Post-Print hal-02188240, HAL.
- Baptiste Barreau & Laurent Carlier & Damien Challet, 2019.
"Deep Prediction of Investor Interest: a Supervised Clustering Approach,"
Papers
1909.05289, arXiv.org, revised Feb 2021.
- Baptiste Barreau & Laurent Carlier & Damien Challet, 2021. "Deep Prediction Of Investor Interest: a Supervised Clustering Approach," Post-Print hal-02276055, HAL.
- Marcus Cordi & Damien Challet & Serge Kassibrakis, 2019.
"The market nanostructure origin of asset price time reversal asymmetry,"
Papers
1901.00834, arXiv.org, revised Apr 2020.
- Marcus Cordi & Damien Challet & Serge Kassibrakis, 2021. "The market nanostructure origin of asset price time reversal asymmetry," Quantitative Finance, Taylor & Francis Journals, vol. 21(2), pages 295-304, February.
- Marcus Cordi & Damien Challet & Serge Kassibrakis, 2018. "The market nanostructure origin of asset price time reversal asymmetry," Post-Print hal-01966419, HAL.
- Kevin Primicerio & Damien Challet, 2018.
"Large large-trader activity weakens the long memory of limit order markets,"
Papers
1803.08390, arXiv.org.
- Kevin Primicerio & Damien Challet, 2019. "Large large-trader activity weakens the long memory of limit order markets," Post-Print hal-02021772, HAL.
- Damien Challet, 2018.
"Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions,"
Papers
1807.00573, arXiv.org.
- Damien Challet, 2019. "Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions," Post-Print hal-01829337, HAL.
- Damien Challet & Nikita Gourianov, 2018.
"Dynamical regularities of US equities opening and closing auctions,"
Papers
1802.01921, arXiv.org, revised Oct 2018.
- Damien Challet & Nikita Gourianov, 2018. "Dynamical regularities of US equities opening and closing auctions," Post-Print hal-01702726, HAL.
- Marcus Cordi & Damien Challet & Ioane Muni Toke, 2017.
"Testing the causality of Hawkes processes with time reversal,"
Papers
1709.08516, arXiv.org.
- Marcus Cordi & Damien Challet & Ioane Muni Toke, 2018. "Testing the causality of Hawkes processes with time reversal," Post-Print hal-01593448, HAL.
- Kevin Primicerio & Damien Challet & Stanislao Gualdi, 2017.
"Wisdom of the institutional crowd,"
Papers
1703.01989, arXiv.org, revised Sep 2017.
- Kevin Primicerio & Damien Challet & Stanislao Gualdi, 2017. "Wisdom of the institutional crowd," Working Papers hal-01484914, HAL.
- Stanislao Gualdi & Giulio Cimini & Kevin Primicerio & Riccardo Di Clemente & Damien Challet, 2016.
"Statistically validated network of portfolio overlaps and systemic risk,"
Papers
1603.05914, arXiv.org, revised Sep 2016.
- Stanislao Gualdi & Giulio Cimini & Kevin Primicerio & Riccardo Di Clemente & Damien Challet, 2016. "Statistically validated network of portfolio overlaps and systemic risk," Post-Print hal-01705092, HAL.
- Jean-Philippe Bouchaud & Damien Challet, 2016.
"Why have asset price properties changed so little in 200 years,"
Papers
1605.00634, arXiv.org.
- Jean-Philippe Bouchaud & Damien Challet, 2017. "Why have asset price properties changed so little in 200 years," Post-Print hal-01311113, HAL.
- Damien Challet, 2016.
"Regrets, learning and wisdom,"
Papers
1605.01052, arXiv.org.
- Damien Challet, 2016. "Regrets, learning and wisdom," Post-Print hal-01312973, HAL.
- Damien Challet & R'emy Chicheportiche & Mehdi Lallouache & Serge Kassibrakis, 2016.
"Statistically validated lead-lag networks and inventory prediction in the foreign exchange market,"
Papers
1609.04640, arXiv.org, revised Jul 2018.
- Damien Challet & Rémy Chicheportiche & Mehdi Lallouache & Serge Kassibrakis, 2018. "Statistically validated leadlag networks and inventory prediction in the foreign exchange market," Post-Print hal-01705087, HAL.
- Damien Challet, 2015. "One- and two-sample nonparametric tests for the signal-to-noise ratio based on record statistics," Papers 1502.05367, arXiv.org, revised Jul 2015.
- Damien Challet, 2015.
"Sharper asset ranking from total drawdown durations,"
Papers
1505.01333, arXiv.org, revised Feb 2017.
- Damien Challet, 2017. "Sharper asset ranking from total drawdown durations," Applied Mathematical Finance, Taylor & Francis Journals, vol. 24(1), pages 1-22, January.
- Damien Challet, 2017. "Sharper asset ranking from total drawdown durations," Post-Print hal-01149704, HAL.
- Joao da Gama Batista & Domenico Massaro & Jean-Philippe Bouchaud & Damien Challet & Cars Hommes, 2015.
"Do investors trade too much? A laboratory experiment,"
Papers
1512.03743, arXiv.org.
- da Gama Batista, João & Massaro, Domenico & Bouchaud, Jean-Philippe & Challet, Damien & Hommes, Cars, 2017. "Do investors trade too much? A laboratory experiment," Journal of Economic Behavior & Organization, Elsevier, vol. 140(C), pages 18-34.
- João da Gama Batista & Domenico Massaro & Jean-Philippe Bouchaud & Damien Challet & Cars Hommes, 2017. "Do investors trade too much? A laboratory experiment," Post-Print hal-01244465, HAL.
- Jo~ao da Gama Batista & Jean-Philippe Bouchaud & Damien Challet, 2014.
"Sudden Trust Collapse in Networked Societies,"
Papers
1409.8321, arXiv.org, revised Mar 2015.
- João Gama Batista & Jean-Philippe Bouchaud & Damien Challet, 2015. "Sudden trust collapse in networked societies," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 88(3), pages 1-11, March.
- João da Gama Batista & Jean-Philippe Bouchaud & Damien Challet, 2015. "Sudden trust collapse in networked societies," Post-Print hal-01119120, HAL.
- Mehdi Lallouache & Damien Challet, 2014.
"The limits of statistical significance of Hawkes processes fitted to financial data,"
Papers
1406.3967, arXiv.org, revised Mar 2015.
- Mehdi Lallouache & Damien Challet, 2016. "The limits of statistical significance of Hawkes processes fitted to financial data," Quantitative Finance, Taylor & Francis Journals, vol. 16(1), pages 1-11, January.
- Mehdi Lallouache & Damien Challet, 2016. "The limits of statistical significance of Hawkes processes fitted to financial data," Post-Print hal-01134105, HAL.
- Damien Challet & Ahmed Bel Hadj Ayed, 2014.
"Do Google Trend data contain more predictability than price returns?,"
Papers
1403.1715, arXiv.org.
- Damien Challet & Ahmed Bel Hadj Ayed, 2015. "Do Google Trend data contain more predictability than price returns?," Post-Print hal-00960875, HAL.
- Anirban Chakraborti & Damien Challet & Arnab Chatterjee & Matteo Marsili & Yi-Cheng Zhang & Bikas K. Chakrabarti, 2013.
"Statistical Mechanics of Competitive Resource Allocation using Agent-based Models,"
Papers
1305.2121, arXiv.org, revised Sep 2014.
- Anirban Chakraborti & Damien Challet & Arnab Chatterjee & Matteo Marsili & Yi-Cheng Zhang & Bikas K. Chakrabarti, 2015. "Statistical mechanics of competitive resource allocation using agent-based models," Post-Print hal-00834380, HAL.
- Damien Challet & Ahmed Bel Hadj Ayed, 2013.
"Predicting financial markets with Google Trends and not so random keywords,"
Papers
1307.4643, arXiv.org, revised Mar 2014.
- Damien Challet & Ahmed Bel Hadj Ayed, 2013. "Predicting financial markets with Google Trends and not so random keywords," Working Papers hal-00851607, HAL.
- Pier Paolo Peirano & Damien Challet, 2012.
"Baldovin-Stella stochastic volatility process and Wiener process mixtures,"
Post-Print
hal-00734355, HAL.
- P. Peirano & D. Challet, 2012. "Baldovin-Stella stochastic volatility process and Wiener process mixtures," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 85(8), pages 1-12, August.
- David Br'ee & Damien Challet & Pier Paolo Peirano, 2010.
"Prediction accuracy and sloppiness of log-periodic functions,"
Papers
1006.2010, arXiv.org.
- David S. Br�e & Damien Challet & Pier Paolo Peirano, 2013. "Prediction accuracy and sloppiness of log-periodic functions," Quantitative Finance, Taylor & Francis Journals, vol. 13(2), pages 275-280, January.
- David Morton de Lachapelle & Damien Challet, 2009. "Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior," Papers 0912.4723, arXiv.org, revised Jun 2010.
- Challet, Damien & Peirano, Pier Paolo, 2008. "The ups and downs of the renormalization group applied to financial time series," MPRA Paper 9770, University Library of Munich, Germany.
- Damien Challet & Sorin Solomon & Gur Yaari, 2008.
"The universal shape of economic recession and recovery after a shock,"
Papers
0802.2004, arXiv.org, revised Aug 2009.
- Challet, Damien & Solomon, Sorin & Yaari, Gur, 2009. "The universal shape of economic recession and recovery after a shock," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 3, pages 1-24.
- Challet, Damien & Solomon, Sorin & Yaari, Gur, 2009. "The Universal Shape of Economic Recession and Recovery after a Shock," Economics Discussion Papers 2009-6, Kiel Institute for the World Economy (IfW Kiel).
- Damien Challet & Pier Paolo Peirano, 2008. "The Ups and Downs of Modeling Financial Time Series with Wiener Process Mixtures," Papers 0807.4163, arXiv.org, revised Jul 2009.
- Linyuan Lu & Matus Medo & Yi-Cheng Zhang & Damien Challet, 2008.
"Emergence of product differentiation from consumer heterogeneity and asymmetric information,"
Papers
0804.1229, arXiv.org, revised Jun 2008.
- L. Lü & M. Medo & Y. Zhang & D. Challet, 2008. "Emergence of product differentiation from consumer heterogeneity and asymmetric information," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 64(2), pages 293-300, July.
- Matzke, Christina & Challet, Damien, 2008. "Taking a shower in Youth Hostels: risks and delights of heterogeneity," Bonn Econ Discussion Papers 1/2008, University of Bonn, Bonn Graduate School of Economics (BGSE).
- Damien Challet, 2007.
"Feedback and efficiency in limit order markets,"
Papers
0709.3005, arXiv.org, revised Sep 2007.
- Challet, Damien, 2008. "Feedback and efficiency in limit order markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3831-3836.
- Damien Challet, 2007.
"The tick-by-tick dynamical consistency of price impact in limit order books,"
Papers
physics/0702210, arXiv.org, revised Jan 2010.
- Damien Challet, 2011. "The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(3), pages 189-205.
- Thierry Bochud & Damien Challet, 2006. "Optimal approximations of power-laws with exponentials," Papers physics/0605149, arXiv.org, revised May 2006.
- Damien Challet, 2006.
"The demise of constant price impact functions and single-time step models of speculation,"
Papers
physics/0608013, arXiv.org, revised Nov 2006.
- Challet, Damien, 2007. "The demise of constant price impact functions and single-time step models of speculation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 29-35.
- Damien Challet, 2005.
"Inter-pattern speculation: beyond minority, majority and $-games,"
Finance
0503006, University Library of Munich, Germany.
- Challet, Damien, 2008. "Inter-pattern speculation: Beyond minority, majority and $-games," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 85-100, January.
- Damien Challet, 2005. "News and price returns from threshold behaviour and vice-versa: exact solution of a simple agent-based market model," Papers physics/0510257, arXiv.org, revised Oct 2006.
- Damien Challet & Tobias Galla, 2004.
"Price return auto-correlation and predictability in agent-based models of financial markets,"
Papers
cond-mat/0404264, arXiv.org, revised Dec 2004.
- Damien Challet & Tobias Galla, 2005. "Price return autocorrelation and predictability in agent-based models of financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 5(6), pages 569-576.
- Damien Challet & Matteo Marsili & Gabriele Ottino, 2004.
"Shedding light on El Farol,"
Game Theory and Information
0406002, University Library of Munich, Germany.
- Challet, Damien & Marsili, M & Ottino, Gabriele, 2004. "Shedding light on El Farol," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 332(C), pages 469-482.
- Damien Challet & Matteo Marsili, 2002. "Criticality and finite size effects in a simple realistic model of stock market," Papers cond-mat/0210549, arXiv.org, revised Dec 2002.
- R. D. Willmann & G. M. Schuetz & D. Challet, 2002.
"Exact Hurst exponent and crossover behavior in a limit order market model,"
Papers
cond-mat/0206446, arXiv.org.
- Willmann, R.D & Schütz, G.M & Challet, D, 2002. "Exact Hurst exponent and crossover behavior in a limit order market model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 430-440.
- Damien Challet & Robin Stinchcombe, 2002.
"Limit order market analysis and modelling: on an universal cause for over-diffusive prices,"
Papers
cond-mat/0211082, arXiv.org.
- Challet, Damien & Stinchcombe, Robin, 2003. "Limit order market analysis and modelling: on a universal cause for over-diffusive prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 141-145.
- Damien Challet & Matteo Marsili & Yi-Cheng Zhang, 2001.
"Stylized facts of financial markets and market crashes in Minority Games,"
Papers
cond-mat/0101326, arXiv.org.
- Challet, Damien & Marsili, Matteo & Zhang, Yi-Cheng, 2001. "Stylized facts of financial markets and market crashes in Minority Games," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 294(3), pages 514-524.
- Damien Challet & Robin Stinchcombe, 2001.
"Analyzing and modelling 1+1d markets,"
Papers
cond-mat/0106114, arXiv.org, revised Jun 2001.
- Challet, Damien & Stinchcombe, Robin, 2001. "Analyzing and modeling 1+1d markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 300(1), pages 285-299.
- D. Challet & M. Marsili & Y. -C. Zhang, 2001.
"Minority Games and stylized facts,"
Papers
cond-mat/0103024, arXiv.org, revised Mar 2001.
- Challet, Damien & Marsili, Matteo & Zhang, Yi-Cheng, 2001. "Minority games and stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 228-233.
- M. Marsili & D. Challet, 2000.
"Trading behavior and excess volatility in toy markets,"
Papers
cond-mat/0004376, arXiv.org, revised Jun 2000.
- Matteo Marsili & Damien Challet, 2001. "Trading Behavior And Excess Volatility In Toy Markets," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 3-17.
- D. Challet & A. Chessa & M. Marsili & Y. -C. Zhang, 2000.
"From Minority Games to real markets,"
Papers
cond-mat/0011042, arXiv.org.
- D. Challet & A. Chessa & M. Marsili & Y-C. Zhang, 2001. "From Minority Games to real markets," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 168-176.
- D. Challet & M. Marsili & R. Zecchina, 2000. "Comment on: Thermal model for Adaptive Competition in a Market," Papers cond-mat/0004308, arXiv.org, revised May 2000.
- Damien Challet & Matteo Marsili & Yi-Cheng Zhang, 1999.
"Modeling Market Mechanism with Minority Game,"
Papers
cond-mat/9909265, arXiv.org.
- Challet, Damien & Marsili, Matteo & Zhang, Yi-Cheng, 2000. "Modeling market mechanism with minority game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 276(1), pages 284-315.
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repec:hal:wpaper:hal-02506848 is not listed on IDEAS
repec:hal:wpaper:hal-03491913 is not listed on IDEAS
repec:hal:wpaper:hal-02612262 is not listed on IDEAS
repec:hal:wpaper:hal-03791538 is not listed on IDEAS
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Articles
- Jérémi Assael & Laurent Carlier & Damien Challet, 2023.
"Dissecting the Explanatory Power of ESG Features on Equity Returns by Sector, Capitalization, and Year with Interpretable Machine Learning,"
JRFM, MDPI, vol. 16(3), pages 1-22, March.
- J'er'emi Assael & Laurent Carlier & Damien Challet, 2022. "Dissecting the explanatory power of ESG features on equity returns by sector, capitalization, and year with interpretable machine learning," Papers 2201.04393, arXiv.org, revised Apr 2023.
- Jérémi Assael & Laurent Carlier & Damien Challet, 2023. "Dissecting the explanatory power of ESG features on equity returns by sector, capitalization, and year with interpretable machine learning," Post-Print hal-03791538, HAL.
- Bongiorno, Christian & Challet, Damien, 2023.
"Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization,"
Finance Research Letters, Elsevier, vol. 52(C).
- Christian Bongiorno & Damien Challet, 2021. "Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimisation," Papers 2112.07521, arXiv.org, revised Oct 2022.
- Christian Bongiorno & Damien Challet, 2022.
"Reactive global minimum variance portfolios with k-BAHC covariance cleaning,"
The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1344-1360, October.
- Christian Bongiorno & Damien Challet, 2021. "Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning," Post-Print hal-02612262, HAL.
- Christian Bongiorno & Damien Challet, 2020. "Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning," Papers 2005.08703, arXiv.org, revised Mar 2023.
- Christian Bongiorno & Damien Challet, 2021.
"Covariance matrix filtering with bootstrapped hierarchies,"
PLOS ONE, Public Library of Science, vol. 16(1), pages 1-13, January.
- Christian Bongiorno & Damien Challet, 2021. "Covariance matrix filtering with bootstrapped hierarchies," Post-Print hal-02506848, HAL.
- Christian Bongiorno & Damien Challet, 2020. "Covariance matrix filtering with bootstrapped hierarchies," Papers 2003.05807, arXiv.org.
- Challet, Damien & Bongiorno, Christian & Pelletier, Guillaume, 2021.
"Financial factors selection with knockoffs: Fund replication, explanatory and prediction networks,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
- Damien Challet & Christian Bongiorno & Guillaume Pelletier, 2021. "Financial factors selection with knockoffs: fund replication, explanatory and prediction networks," Papers 2103.05921, arXiv.org.
- Damien Challet & Christian Bongiorno & Guillaume Pelletier, 2021. "Financial factors selection with knockoffs: fund replication, explanatory and prediction networks," Post-Print hal-03165842, HAL.
- Kevin Primicerio & Damien Challet & Stanislao Gualdi, 2021.
"Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors,"
Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(1), pages 153-171, January.
- Kevin Primicerio & Damien Challet & Stanislao Gualdi, 2020. "Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors," Post-Print hal-04317258, HAL.
- Marcus Cordi & Damien Challet & Serge Kassibrakis, 2021.
"The market nanostructure origin of asset price time reversal asymmetry,"
Quantitative Finance, Taylor & Francis Journals, vol. 21(2), pages 295-304, February.
- Marcus Cordi & Damien Challet & Serge Kassibrakis, 2018. "The market nanostructure origin of asset price time reversal asymmetry," Post-Print hal-01966419, HAL.
- Marcus Cordi & Damien Challet & Serge Kassibrakis, 2019. "The market nanostructure origin of asset price time reversal asymmetry," Papers 1901.00834, arXiv.org, revised Apr 2020.
- Damien Challet & Alessandro Pluchino & Alessio Emanuele Biondo & Andrea Rapisarda, 2020. "The Origins Of Extreme Wealth Inequality In The Talent Versus Luck Model," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-17, March.
- Damien Challet, 2018. "Realistic simulation of financial markets: analyzing market behaviors by the third mode of science," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(1), pages 195-196, April.
- da Gama Batista, João & Massaro, Domenico & Bouchaud, Jean-Philippe & Challet, Damien & Hommes, Cars, 2017.
"Do investors trade too much? A laboratory experiment,"
Journal of Economic Behavior & Organization, Elsevier, vol. 140(C), pages 18-34.
- João da Gama Batista & Domenico Massaro & Jean-Philippe Bouchaud & Damien Challet & Cars Hommes, 2017. "Do investors trade too much? A laboratory experiment," Post-Print hal-01244465, HAL.
- Joao da Gama Batista & Domenico Massaro & Jean-Philippe Bouchaud & Damien Challet & Cars Hommes, 2015. "Do investors trade too much? A laboratory experiment," Papers 1512.03743, arXiv.org.
- Damien Challet, 2017.
"Sharper asset ranking from total drawdown durations,"
Applied Mathematical Finance, Taylor & Francis Journals, vol. 24(1), pages 1-22, January.
- Damien Challet, 2015. "Sharper asset ranking from total drawdown durations," Papers 1505.01333, arXiv.org, revised Feb 2017.
- Damien Challet, 2017. "Sharper asset ranking from total drawdown durations," Post-Print hal-01149704, HAL.
- Mehdi Lallouache & Damien Challet, 2016.
"The limits of statistical significance of Hawkes processes fitted to financial data,"
Quantitative Finance, Taylor & Francis Journals, vol. 16(1), pages 1-11, January.
- Mehdi Lallouache & Damien Challet, 2016. "The limits of statistical significance of Hawkes processes fitted to financial data," Post-Print hal-01134105, HAL.
- Mehdi Lallouache & Damien Challet, 2014. "The limits of statistical significance of Hawkes processes fitted to financial data," Papers 1406.3967, arXiv.org, revised Mar 2015.
- João Gama Batista & Jean-Philippe Bouchaud & Damien Challet, 2015.
"Sudden trust collapse in networked societies,"
The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 88(3), pages 1-11, March.
- João da Gama Batista & Jean-Philippe Bouchaud & Damien Challet, 2015. "Sudden trust collapse in networked societies," Post-Print hal-01119120, HAL.
- Jo~ao da Gama Batista & Jean-Philippe Bouchaud & Damien Challet, 2014. "Sudden Trust Collapse in Networked Societies," Papers 1409.8321, arXiv.org, revised Mar 2015.
- David S. Br�e & Damien Challet & Pier Paolo Peirano, 2013.
"Prediction accuracy and sloppiness of log-periodic functions,"
Quantitative Finance, Taylor & Francis Journals, vol. 13(2), pages 275-280, January.
- David Br'ee & Damien Challet & Pier Paolo Peirano, 2010. "Prediction accuracy and sloppiness of log-periodic functions," Papers 1006.2010, arXiv.org.
- P. Peirano & D. Challet, 2012.
"Baldovin-Stella stochastic volatility process and Wiener process mixtures,"
The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 85(8), pages 1-12, August.
- Pier Paolo Peirano & Damien Challet, 2012. "Baldovin-Stella stochastic volatility process and Wiener process mixtures," Post-Print hal-00734355, HAL.
- Damien Challet, 2011.
"The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books,"
Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(3), pages 189-205.
- Damien Challet, 2007. "The tick-by-tick dynamical consistency of price impact in limit order books," Papers physics/0702210, arXiv.org, revised Jan 2010.
- G. Mosetti & D. Challet & S. Solomon, 2009. "Structure-preserving desynchronization of minority games," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 71(4), pages 573-577, October.
- Challet, Damien & Solomon, Sorin & Yaari, Gur, 2009.
"The universal shape of economic recession and recovery after a shock,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 3, pages 1-24.
- Damien Challet & Sorin Solomon & Gur Yaari, 2008. "The universal shape of economic recession and recovery after a shock," Papers 0802.2004, arXiv.org, revised Aug 2009.
- Challet, Damien & Solomon, Sorin & Yaari, Gur, 2009. "The Universal Shape of Economic Recession and Recovery after a Shock," Economics Discussion Papers 2009-6, Kiel Institute for the World Economy (IfW Kiel).
- Challet, Damien, 2008.
"Inter-pattern speculation: Beyond minority, majority and $-games,"
Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 85-100, January.
- Damien Challet, 2005. "Inter-pattern speculation: beyond minority, majority and $-games," Finance 0503006, University Library of Munich, Germany.
- Challet, Damien, 2008.
"Feedback and efficiency in limit order markets,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3831-3836.
- Damien Challet, 2007. "Feedback and efficiency in limit order markets," Papers 0709.3005, arXiv.org, revised Sep 2007.
- L. Lü & M. Medo & Y. Zhang & D. Challet, 2008.
"Emergence of product differentiation from consumer heterogeneity and asymmetric information,"
The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 64(2), pages 293-300, July.
- Linyuan Lu & Matus Medo & Yi-Cheng Zhang & Damien Challet, 2008. "Emergence of product differentiation from consumer heterogeneity and asymmetric information," Papers 0804.1229, arXiv.org, revised Jun 2008.
- Challet, Damien, 2007.
"The demise of constant price impact functions and single-time step models of speculation,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 29-35.
- Damien Challet, 2006. "The demise of constant price impact functions and single-time step models of speculation," Papers physics/0608013, arXiv.org, revised Nov 2006.
- Thierry Bochud & Damien Challet, 2007. "Optimal approximations of power laws with exponentials: application to volatility models with long memory," Quantitative Finance, Taylor & Francis Journals, vol. 7(6), pages 585-589.
- Mosetti, Giancarlo & Challet, Damien & Zhang, Yi-Cheng, 2006. "Minority games with heterogeneous timescales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 365(2), pages 529-542.
- Damien Challet, 2006. "Coolen, A.C.C.: The Mathematical Theory of Minority Games. Statistical Mechanics of Interacting Agents," Journal of Economics, Springer, vol. 88(3), pages 311-314, September.
- Damien Challet & Tobias Galla, 2005.
"Price return autocorrelation and predictability in agent-based models of financial markets,"
Quantitative Finance, Taylor & Francis Journals, vol. 5(6), pages 569-576.
- Damien Challet & Tobias Galla, 2004. "Price return auto-correlation and predictability in agent-based models of financial markets," Papers cond-mat/0404264, arXiv.org, revised Dec 2004.
- Challet, Damien & Marsili, M & Ottino, Gabriele, 2004.
"Shedding light on El Farol,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 332(C), pages 469-482.
- Damien Challet & Matteo Marsili & Gabriele Ottino, 2004. "Shedding light on El Farol," Game Theory and Information 0406002, University Library of Munich, Germany.
- Challet, Damien, 2004. "Minority mechanisms in models of agents learning collectively a resource level," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 24-29.
- Challet, Damien & Marsili, Matteo & De Martino, Andrea, 2004. "Stylized facts in minority games with memory: a new challenge," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 338(1), pages 143-150.
- Challet, Damien & Stinchcombe, Robin, 2003.
"Limit order market analysis and modelling: on a universal cause for over-diffusive prices,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 141-145.
- Damien Challet & Robin Stinchcombe, 2002. "Limit order market analysis and modelling: on an universal cause for over-diffusive prices," Papers cond-mat/0211082, arXiv.org.
- Damien Challet & Robin Stinchcombe, 2003. "Non-constant rates and over-diffusive prices in a simple model of limit order markets," Quantitative Finance, Taylor & Francis Journals, vol. 3(3), pages 155-162.
- Willmann, R.D & Schütz, G.M & Challet, D, 2002.
"Exact Hurst exponent and crossover behavior in a limit order market model,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 430-440.
- R. D. Willmann & G. M. Schuetz & D. Challet, 2002. "Exact Hurst exponent and crossover behavior in a limit order market model," Papers cond-mat/0206446, arXiv.org.
- D. Challet & A. Chessa & M. Marsili & Y-C. Zhang, 2001.
"From Minority Games to real markets,"
Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 168-176.
- D. Challet & A. Chessa & M. Marsili & Y. -C. Zhang, 2000. "From Minority Games to real markets," Papers cond-mat/0011042, arXiv.org.
- Challet, Damien & Marsili, Matteo & Zhang, Yi-Cheng, 2001.
"Minority games and stylized facts,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 228-233.
- D. Challet & M. Marsili & Y. -C. Zhang, 2001. "Minority Games and stylized facts," Papers cond-mat/0103024, arXiv.org, revised Mar 2001.
- Matteo Marsili & Damien Challet, 2001.
"Trading Behavior And Excess Volatility In Toy Markets,"
Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 3-17.
- M. Marsili & D. Challet, 2000. "Trading behavior and excess volatility in toy markets," Papers cond-mat/0004376, arXiv.org, revised Jun 2000.
- Challet, Damien & Stinchcombe, Robin, 2001.
"Analyzing and modeling 1+1d markets,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 300(1), pages 285-299.
- Damien Challet & Robin Stinchcombe, 2001. "Analyzing and modelling 1+1d markets," Papers cond-mat/0106114, arXiv.org, revised Jun 2001.
- Challet, Damien & Marsili, Matteo & Zhang, Yi-Cheng, 2001.
"Stylized facts of financial markets and market crashes in Minority Games,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 294(3), pages 514-524.
- Damien Challet & Matteo Marsili & Yi-Cheng Zhang, 2001. "Stylized facts of financial markets and market crashes in Minority Games," Papers cond-mat/0101326, arXiv.org.
- Marsili, Matteo & Challet, Damien & Zecchina, Riccardo, 2000. "Exact solution of a modified El Farol's bar problem: Efficiency and the role of market impact," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 280(3), pages 522-553.
- Damien Challet & Matteo Marsili & Riccardo Zecchina, 2000. "Phase Transition In A Toy Market," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 451-454.
- Challet, Damien & Marsili, Matteo & Zhang, Yi-Cheng, 2000.
"Modeling market mechanism with minority game,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 276(1), pages 284-315.
- Damien Challet & Matteo Marsili & Yi-Cheng Zhang, 1999. "Modeling Market Mechanism with Minority Game," Papers cond-mat/9909265, arXiv.org.
- Challet, Damien & Zhang, Yi-Cheng, 1998. "On the minority game: Analytical and numerical studies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 256(3), pages 514-532.
- Challet, D. & Zhang, Y.-C., 1997. "Emergence of cooperation and organization in an evolutionary game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 246(3), pages 407-418.
Books
- Challet, Damien & Marsili, Matteo & Zhang, Yi-Cheng, 2004.
"Minority Games: Interacting agents in financial markets,"
OUP Catalogue,
Oxford University Press, number 9780198566403.
- Challet, Damien & Marsili, Matteo & Zhang, Yi-Cheng, 2013. "Minority Games: Interacting agents in financial markets," OUP Catalogue, Oxford University Press, number 9780199686698.
More information
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This author is among the top 5% authors according to these criteria:Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 38 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (9) 2010-06-18 2015-02-28 2015-05-09 2017-10-01 2020-03-30 2020-06-15 2021-12-20 2022-01-24 2022-08-15. Author is listed
- NEP-MST: Market Microstructure (9) 2015-12-20 2018-02-26 2018-04-09 2019-01-14 2020-05-11 2020-05-11 2023-02-06 2023-02-27 2024-02-12. Author is listed
- NEP-CMP: Computational Economics (7) 2014-10-22 2019-09-16 2021-03-29 2022-11-21 2023-05-08 2023-10-02 2024-02-12. Author is listed
- NEP-ETS: Econometric Time Series (7) 2010-06-18 2012-09-30 2017-10-01 2021-12-20 2022-08-15 2023-10-02 2023-10-30. Author is listed
- NEP-FMK: Financial Markets (7) 2013-07-20 2014-03-15 2015-12-20 2018-07-09 2022-01-31 2022-11-21 2023-05-08. Author is listed
- NEP-BIG: Big Data (6) 2019-09-16 2021-03-29 2022-11-21 2023-05-08 2023-10-02 2024-02-12. Author is listed
- NEP-FOR: Forecasting (4) 2010-06-18 2013-07-20 2014-03-15 2019-09-16
- NEP-HPE: History and Philosophy of Economics (4) 2016-05-08 2016-05-21 2017-03-19 2017-04-09
- NEP-DES: Economic Design (3) 2018-02-26 2018-07-09 2020-05-11
- NEP-ENV: Environmental Economics (2) 2022-11-21 2023-05-08
- NEP-GEN: Gender (2) 2020-05-11 2020-05-11
- NEP-NET: Network Economics (2) 2014-10-22 2020-05-11
- NEP-RMG: Risk Management (2) 2016-04-04 2020-03-30
- NEP-CBA: Central Banking (1) 2009-03-14
- NEP-CBE: Cognitive and Behavioural Economics (1) 2015-12-20
- NEP-CDM: Collective Decision-Making (1) 2016-05-08
- NEP-CWA: Central and Western Asia (1) 2021-03-29
- NEP-EXP: Experimental Economics (1) 2015-12-20
- NEP-FDG: Financial Development and Growth (1) 2009-03-14
- NEP-HIS: Business, Economic and Financial History (1) 2016-05-21
- NEP-KNM: Knowledge Management and Knowledge Economy (1) 2018-07-09
- NEP-PKE: Post Keynesian Economics (1) 2016-05-08
- NEP-SOC: Social Norms and Social Capital (1) 2014-10-22
- NEP-SOG: Sociology of Economics (1) 2016-09-18
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