Damien Challet

Présentation

Publications

Article dans une revue (30)

Stylized facts in money markets: an empirical analysis of the eurozone data Victor Le Coz,Nolwenn Allaire,Michael Benzaquen,Damien Challet European Central Bank Working Papers, 2025, 3113 (ISBN 978-92-899-7431-8) Article dans une revue hal-05273325v1
A minimal model of money creation within secured interbank markets Victor Le Coz,Michael Benzaquen,Damien Challet Journal of Economic Behavior and Organization, 2025, 237, pp.107142. ⟨10.1016/j.jebo.2025.107142⟩ Article dans une revue hal-05273328v1
Price impact in equity auctions: zero, then linear Mohammed Salek,Damien Challet,Ioane Muni Toke Market microstructure and liquidity, In press Article dans une revue hal-03938660v2
When is cross impact relevant? Victor Le Coz,Iacopo Mastromatteo,Damien Challet,Michael Benzaquen Quantitative Finance, 2024, 24 (2), pp.265. ⟨10.1080/14697688.2024.2302827⟩ Article dans une revue hal-04234766v1
Equity auction dynamics: latent liquidity models with activity acceleration Mohammed Salek,Damien Challet,Ioane Muni Toke Quantitative Finance, 2024, 24 (10), pp.1381-1398. ⟨10.1080/14697688.2024.2367680⟩ Article dans une revue hal-04391810v2
Multi-Timescale Recurrent Neural Networks Beat Rough Volatility for Intraday Volatility Prediction Damien Challet,Vincent Ragel Risks, 2024, 12 (6), pp.84. ⟨10.3390/risks12060084⟩ Article dans une revue hal-05235479v1
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⟩ Article dans une revue hal-03481441v1
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⟩ Article dans une revue hal-03791538v3
The Oracle estimator is suboptimal for global minimum variance portfolio optimisation Christian Bongiorno,Damien Challet Finance Research Letters, 2023, 52, pp.103383. ⟨10.1016/j.frl.2022.103383⟩ Article dans une revue hal-03491913v1
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⟩ Article dans une revue hal-03165842v1
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⟩ Article dans une revue hal-02612262v1
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⟩ Article dans une revue hal-02335586v1
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⟩ Article dans une revue hal-02276055v3
Covariance matrix filtering with bootstrapped hierarchies Christian Bongiorno,Damien Challet PLoS ONE, 2021, 16 (1), pp.e0245092. ⟨10.1371/journal.pone.0245092⟩ Article dans une revue hal-02506848v1
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⟩ Article dans une revue hal-04317258v1
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⟩ Article dans une revue hal-02188240v1
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⟩ Article dans une revue hal-02021772v1
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⟩ Article dans une revue hal-01593448v1
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⟩ Article dans une revue hal-01966419v1
Dynamical regularities of US equities opening and closing auctions Damien Challet,Nikita Gourianov Market microstructure and liquidity, 2018, 4 (1-2), ⟨10.1142/S2382626619500011⟩ Article dans une revue hal-01702726v1
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⟩ Article dans une revue hal-01705087v1
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⟩ Article dans une revue hal-01244465v1
Sharper asset ranking from total drawdown durations Damien Challet Applied Mathematical Finance, 2017, 24 (1), pp.1-22. ⟨10.1080/1350486X.2017.1297728⟩ Article dans une revue hal-01149704v1
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⟩ Article dans une revue hal-01312973v1
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⟩ Article dans une revue hal-01134105v1
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⟩ Article dans une revue hal-01705092v1
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⟩ Article dans une revue hal-00960875v1
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⟩ Article dans une revue hal-01119120v1
Statistical mechanics of competitive resource allocation using agent-based models Anirban Chakraborti,Damien Challet,Arnab Chatterjee,Matteo Marsili,Yi-Cheng Zhanget al. Physics Reports, 2015, 552, pp.1-25. ⟨10.1016/j.physrep.2014.09.006⟩ Article dans une revue hal-00834380v1
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⟩ Article dans une revue istex hal-00734355v1

Communication dans un congrès (1)

Statistical inference of lead-lag at various timescales between asynchronous time series from p-values of transfer entropy Christian Bongiorno,Damien Challet International Conference on Complex Networks and Their Applications, Nov 2020, Palerme, Italy. pp.514-525, ⟨10.1007/978-3-031-21127-0_42⟩ Communication dans un congrès hal-04021505v1

Chapitre d'ouvrage (2)

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⟩ Chapitre d'ouvrage hal-01829337v1
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 Chapitre d'ouvrage hal-01311113v1

Pré-publication, Document de travail (12)

Optimal execution on Uniswap v2/v3 under transient price impact Bastien Baude,Damien Challet,Ioane Muni Toke 2026 Pré-publication, Document de travail hal-05448573v1
Optimal risk-aware interest rates for decentralized lending protocols Bastien Baude,Damien Challet,Ioane Muni Toke 2025 Pré-publication, Document de travail hal-04971758v1
Learning the Spoofability of Limit Order Books With Interpretable Probabilistic Neural Networks Timothée Fabre,Damien Challet 2025 Pré-publication, Document de travail hal-05044526v1
NOISE-PROOFING UNIVERSAL PORTFOLIO SHRINKAGE Paul Ruelloux,Christian Bongiorno,Damien Challet 2025 Pré-publication, Document de travail hal-05363639v1
Consistent time travel for realistic interactions with historical data: reinforcement learning for market making Vincent Ragel,Damien Challet 2025 Pré-publication, Document de travail hal-04930402v1
Can ChatGPT Compute Trustworthy Sentiment Scores from Bloomberg Market Wraps? Baptiste Lefort,Eric Benhamou,Jean-Jacques Ohana,David Saltiel,Beatrice Guezet al. 2024 Pré-publication, Document de travail hal-04739906v1
When Small Wins Big: Classification Tasks Where Compact Models Outperform Original GPT-4 Baptiste Lefort,Eric Benhamou,Jean-Jacques Ohana,Beatrice Guez,David Saltielet al. 2024 Pré-publication, Document de travail hal-04739931v1
Covariance matrix filtering and portfolio optimisation: the Average Oracle vs Non-Linear Shrinkage and all the variants of DCC-NLS Christian Bongiorno,Damien Challet 2023 Pré-publication, Document de travail hal-04323624v1
Recurrent Neural Networks with more flexible memory: better predictions than rough volatility Damien Challet,Vincent Ragel 2023 Pré-publication, Document de travail hal-04165354v1
Wisdom of the institutional crowd Kevin Primicerio,Damien Challet,Stanislao Gualdi 2017 Pré-publication, Document de travail hal-01484914v1
One- and two-sample nonparametric tests for the signal-to-noise ratio based on record statistics Damien Challet 2015 Pré-publication, Document de travail hal-01119106v1
Predicting financial markets with Google Trends and not so random keywords Damien Challet,Ahmed Bel Hadj Ayed 2013 Pré-publication, Document de travail hal-00851607v1