CV Accueil - Archive ouverte HAL

	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
	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
	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
	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
	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
	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
	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
	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
	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
	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
	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
	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
	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
	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⟩ Article dans une revue hal-00834380v1
	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
	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 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⟩ 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

	Equity auction dynamics: latent liquidity models with activity acceleration Mohammed Salek , Damien Challet , Ioane Muni Toke 2024 Pré-publication, Document de travail hal-04391810v1
	Price impact in equity auctions: zero, then linear Mohammed Salek , Damien Challet , Ioane Muni Toke 2023 Pré-publication, Document de travail hal-03938660v2
	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
	When is cross impact relevant? Victor Le Coz , Iacopo Mastromatteo , Damien Challet , Michael Benzaquen 2023 Pré-publication, Document de travail hal-04234766v1
	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

Damien Challet

Présentation

Publications

Filtering time-dependent covariance matrices using time-independent eigenvalues

Dissecting the explanatory power of ESG features on equity returns by sector, capitalization, and year with interpretable machine learning

The Oracle estimator is suboptimal for global minimum variance portfolio optimisation

Nonparametric sign prediction of high-dimensional correlation matrix coefficients

Deep Prediction Of Investor Interest: a Supervised Clustering Approach

Covariance matrix filtering with bootstrapped hierarchies

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

Financial factors selection with knockoffs: fund replication, explanatory and prediction networks

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

Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors

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

Dynamical regularities of US equities opening and closing auctions

Statistically validated leadlag networks and inventory prediction in the foreign exchange market

Testing the causality of Hawkes processes with time reversal

The market nanostructure origin of asset price time reversal asymmetry

Do investors trade too much? A laboratory experiment

Sharper asset ranking from total drawdown durations

The limits of statistical significance of Hawkes processes fitted to financial data

Statistically validated network of portfolio overlaps and systemic risk

Regrets, learning and wisdom

Do Google Trend data contain more predictability than price returns?

Statistical mechanics of competitive resource allocation using agent-based models

Sudden trust collapse in networked societies

Baldovin-Stella stochastic volatility process and Wiener process mixtures

Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions

Why have asset price properties changed so little in 200 years

Equity auction dynamics: latent liquidity models with activity acceleration

Price impact in equity auctions: zero, then linear

Covariance matrix filtering and portfolio optimisation: the Average Oracle vs Non-Linear Shrinkage and all the variants of DCC-NLS

When is cross impact relevant?

Recurrent Neural Networks with more flexible memory: better predictions than rough volatility

Wisdom of the institutional crowd

One- and two-sample nonparametric tests for the signal-to-noise ratio based on record statistics

Predicting financial markets with Google Trends and not so random keywords