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Damien Challet

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

Journal articles13 documents

  • Damien Challet, Nikita Gourianov. Dynamical regularities of US equities opening and closing auctions. Market Microstructure and Liquidity, In press. ⟨hal-01702726⟩
  • Damien Challet, Rémy Chicheportiche, Mehdi Lallouache, Serge Kassibrakis. Statistically validated leadlag networks and inventory prediction in the foreign exchange market. Advances in Complex Systems, World Scientific, 2018, ⟨10.1142/S0219525918500194⟩. ⟨hal-01705087⟩
  • Marcus Cordi, Damien Challet, Ioane Muni Toke. Testing the causality of Hawkes processes with time reversal. Journal of Statistical Mechanics: Theory and Experiment, IOP Publishing, 2018. ⟨hal-01593448⟩
  • Damien Challet. Sharper asset ranking from total drawdown durations. Applied Mathematical Finance, Taylor & Francis (Routledge): SSH Titles, 2017, 24 (1), pp.1-22. ⟨10.1080/1350486X.2017.1297728⟩. ⟨hal-01149704⟩
  • Damien Challet, João da Gama Batista, Jean-Philippe Bouchaud, Cars Hommes, Domenico Massaro. Do investors trade too much? A laboratory experiment. Journal of Economic Behavior and Organization, Elsevier, 2017, 140 (August 2017), pp.18-34. ⟨10.1016/j.jebo.2017.05.013⟩. ⟨hal-01244465⟩
  • Damien Challet. Regrets, learning and wisdom. European Physical Journal - Special Topics, EDP Sciences, 2016, 225 (17-18), pp.3137 - 3143. ⟨10.1140/epjst/e2016-60122-y⟩. ⟨hal-01312973⟩
  • Mehdi Lallouache, Damien Challet. The limits of statistical significance of Hawkes processes fitted to financial data. Quantitative Finance, Taylor & Francis (Routledge), 2016, 16 (1), pp.1 - 11. ⟨10.1080/14697688.2015.1068442⟩. ⟨hal-01134105⟩
  • Damien Challet, Stanislao Gualdi, Giulio Cimini, Kevin Primicerio, Riccardo Di Clemente. Statistically validated network of portfolio overlaps and systemic risk. Scientific Reports, Nature Publishing Group, 2016, 6 (1), ⟨10.1038/srep39467⟩. ⟨hal-01705092⟩
  • Damien Challet, Ahmed Bel Hadj Ayed. Do Google Trend data contain more predictability than price returns?. Journal of Investment Strategies, 2015. ⟨hal-00960875⟩
  • João da Gama Batista, Jean-Philippe Bouchaud, Damien Challet. Sudden trust collapse in networked societies. European Physical Journal B: Condensed Matter and Complex Systems, Springer-Verlag, 2015, 88 (3), pp.55. ⟨10.1140/epjb/e2015-50645-1⟩. ⟨hal-01119120⟩
  • Anirban Chakraborti, Damien Challet, Arnab Chatterjee, Matteo Marsili, Yi-Cheng Zhang, et al.. Statistical Mechanics of Competitive Resource Allocation. Physics Reports, Elsevier, 2015, 552, pp.1-25. ⟨10.1016/j.physrep.2014.09.006⟩. ⟨hal-00834380⟩
  • Anirban Chakraborti, Damien Challet. Statistical mechanics of competitive resource allocation using agent-based models. Physics Reports, Elsevier, 2015, 552, ⟨10.1016/j.physrep.2014.09.006 ⟩. ⟨hal-01340039⟩
  • Pier Paolo Peirano, Damien Challet. Baldovin-Stella stochastic volatility process and Wiener process mixtures. Eur. Phys. J. B, 2012, 85 (8), pp.276. ⟨10.1140/epjb/e2012-30134-y⟩. ⟨hal-00734355⟩

Book sections2 documents

Preprints, Working Papers, ...5 documents

  • Kevin Primicerio, Damien Challet. Large large-trader activity weakens the long memory of limit order markets. 2019. ⟨hal-02021772⟩
  • Marcus Cordi, Serge Kassibrakis, Damien Challet. The market nanostructure origin of asset price time reversal asymmetry. 2018. ⟨hal-01966419⟩
  • Kevin Primicerio, Damien Challet, Stanislao Gualdi. Wisdom of the institutional crowd. 2017. ⟨hal-01484914⟩
  • Damien Challet. One- and two-sample nonparametric tests for the signal-to-noise ratio based on record statistics. 2015. ⟨hal-01119106⟩
  • Damien Challet, Ahmed Bel Hadj Ayed. Predicting financial markets with Google Trends and not so random keywords. 2013. ⟨hal-00851607⟩