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Damien Challet



Full professor at Laboratory of Mathematics in Interaction with Computer Science, CentraleSupélec, Université Paris Saclay


Filtering time-dependent covariance matrices using time-independent eigenvalues

Christian Bongiorno , Damien Challet , Grégoire Loeper
Journal of Statistical Mechanics: Theory and Experiment, 2023, 2023 (2), pp.023402. ⟨10.1088/1742-5468/acb7ed⟩
Journal articles hal-03481441v1

The Oracle estimator is suboptimal for global minimum variance portfolio optimisation

Christian Bongiorno , Damien Challet
Finance Research Letters, 2023, 52, pp.103383. ⟨10.1016/⟩
Journal articles hal-03491913v1
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Dissecting the explanatory power of ESG features on equity returns by sector, capitalization, and year with interpretable machine learning

Jérémi Assael , Laurent Carlier , Damien Challet
Journal of Risk and Financial Management, 2023, 16 (3), pp.159. ⟨10.3390/jrfm16030159⟩
Journal articles hal-03791538v3
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Deep Prediction Of Investor Interest: a Supervised Clustering Approach

Baptiste Barreau , Laurent Carlier , Damien Challet
Algorithmic Finance, 2021, 8 (3-4), pp.77-89. ⟨10.3233/AF-200296⟩
Journal articles hal-02276055v3

Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning

Christian Bongiorno , Damien Challet
European Journal of Finance, 2021, 28 (13-15), pp.1344-1360. ⟨10.1080/1351847X.2021.1963301⟩
Journal articles hal-02612262v1
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Nonparametric sign prediction of high-dimensional correlation matrix coefficients

Christian Bongiorno , Damien Challet
EPL - Europhysics Letters, 2021, 133 (4), pp.48001. ⟨10.1209/0295-5075/133/48001⟩
Journal articles hal-02335586v1
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Financial factors selection with knockoffs: fund replication, explanatory and prediction networks

Damien Challet , Christian Bongiorno , Guillaume Pelletier
Physica A: Statistical Mechanics and its Applications, 2021, 580, pp.126105. ⟨10.1016/j.physa.2021.126105⟩
Journal articles hal-03165842v1
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Covariance matrix filtering with bootstrapped hierarchies

Christian Bongiorno , Damien Challet
PLoS ONE, 2021, 16 (1), pp.e0245092. ⟨10.1371/journal.pone.0245092⟩
Journal articles hal-02506848v1

On the origins of extreme wealth inequality in the Talent vs Luck Model

Damien Challet , Alessandro Pluchino , Alessio Emanuele Biondo , Andrea Rapisarda
Advances in Complex Systems (ACS), 2020, 23 (02), pp.2050004. ⟨10.1142/S0219525920500046⟩
Journal articles hal-02188240v1
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Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors

Kevin Primicerio , Damien Challet , Stanislao Gualdi
Journal of Economic Interaction and Coordination, 2020, 16 (1), pp.153-171. ⟨10.1007/s11403-020-00288-0⟩
Journal articles hal-04317258v1

Large large-trader activity weakens the long memory of limit order markets

Kevin Primicerio , Damien Challet
Market microstructure and liquidity, 2019, 04 (01n02), pp.1950004. ⟨10.1142/S2382626619500047⟩
Journal articles hal-02021772v1
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Dynamical regularities of US equities opening and closing auctions

Damien Challet , Nikita Gourianov
Market microstructure and liquidity, 2018, 4 (1-2), ⟨10.1142/S2382626619500011⟩
Journal articles hal-01702726v1
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Testing the causality of Hawkes processes with time reversal

Marcus Cordi , Damien Challet , Ioane Muni Toke
Journal of Statistical Mechanics: Theory and Experiment, 2018, ⟨10.1088/1742-5468/aaac3f⟩
Journal articles hal-01593448v1
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The market nanostructure origin of asset price time reversal asymmetry

Marcus Cordi , Damien Challet , Serge Kassibrakis
SSRN : Social Science Research Network, 2018, ⟨10.2139/ssrn.3309170⟩
Journal articles hal-01966419v1
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Statistically validated leadlag networks and inventory prediction in the foreign exchange market

Damien Challet , Rémy Chicheportiche , Mehdi Lallouache , Serge Kassibrakis
Advances in Complex Systems (ACS), 2018, ⟨10.1142/S0219525918500194⟩
Journal articles hal-01705087v1
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Do investors trade too much? A laboratory experiment

João da Gama Batista , Domenico Massaro , Jean-Philippe Bouchaud , Damien Challet , Cars Hommes
Journal of Economic Behavior and Organization, 2017, 140 (August 2017), pp.18-34. ⟨10.1016/j.jebo.2017.05.013⟩
Journal articles hal-01244465v1
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Sharper asset ranking from total drawdown durations

Damien Challet
Applied Mathematical Finance, 2017, 24 (1), pp.1-22. ⟨10.1080/1350486X.2017.1297728⟩
Journal articles hal-01149704v1
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The limits of statistical significance of Hawkes processes fitted to financial data

Mehdi Lallouache , Damien Challet
Quantitative Finance, 2016, 16 (1), pp.1 - 11. ⟨10.1080/14697688.2015.1068442⟩
Journal articles hal-01134105v1
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Regrets, learning and wisdom

Damien Challet
The European Physical Journal. Special Topics, 2016, 225 (17-18), pp.3137 - 3143. ⟨10.1140/epjst/e2016-60122-y⟩
Journal articles hal-01312973v1
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Statistically validated network of portfolio overlaps and systemic risk

Stanislao Gualdi , Giulio Cimini , Kevin Primicerio , Riccardo Di Clemente , Damien Challet
Scientific Reports, 2016, 6 (1), ⟨10.1038/srep39467⟩
Journal articles hal-01705092v1
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Do Google Trend data contain more predictability than price returns?

Damien Challet , Ahmed Bel Hadj Ayed
Journal of Investment Strategies, 2015, ⟨10.21314/JOIS.2015.064⟩
Journal articles hal-00960875v1
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Statistical mechanics of competitive resource allocation using agent-based models

Anirban Chakraborti , Damien Challet , Arnab Chatterjee , Matteo Marsili , Yi-Cheng Zhang
Physics Reports, 2015, 552, pp.1-25. ⟨10.1016/j.physrep.2014.09.006⟩
Journal articles hal-00834380v1
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Sudden trust collapse in networked societies

João da Gama Batista , Jean-Philippe Bouchaud , Damien Challet
The European Physical Journal B: Condensed Matter and Complex Systems, 2015, 88 (3), pp.55. ⟨10.1140/epjb/e2015-50645-1⟩
Journal articles hal-01119120v1
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Baldovin-Stella stochastic volatility process and Wiener process mixtures

Pier Paolo Peirano , Damien Challet
The European Physical Journal B: Condensed Matter and Complex Systems, 2012, 85 (8), pp.276. ⟨10.1140/epjb/e2012-30134-y⟩
Journal articles hal-00734355v1

Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions

Damien Challet
Springer. New Perspectives and Challenges in Econophysics and Sociophysics, , 2019, 978-3-030-11363-6. ⟨10.1007/978-3-030-11364-3⟩
Book sections hal-01829337v1
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Why have asset price properties changed so little in 200 years

Jean-Philippe Bouchaud , Damien Challet
Econophysics and Sociophysics: Recent Progress and Future Directions, Springer, 2017, 978-3-319-47704-6
Book sections hal-01311113v1