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Damien Challet

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

Journal articles14 documents

  • Baptiste Barreau, Laurent Carlier, Damien Challet. Deep Prediction Of Investor Interest: a Supervised Clustering Approach. Algorithmic Finance, Philip Maymin University of Bridgeport, 2021, 8 (3-4), pp.77-89. ⟨10.3233/AF-200296⟩. ⟨hal-02276055v3⟩
  • Damien Challet, Nikita Gourianov. Dynamical regularities of US equities opening and closing auctions. Market microstructure and liquidity, World scientific publishing company, In press, ⟨10.1142/S2382626619500011⟩. ⟨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, Serge Kassibrakis. The market nanostructure origin of asset price time reversal asymmetry. SSRN : Social Science Research Network, Elsevier, 2018, ⟨10.2139/ssrn.3309170⟩. ⟨hal-01966419⟩
  • 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, ⟨10.1088/1742-5468/aaac3f⟩. ⟨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⟩
  • João da Gama Batista, Domenico Massaro, Jean-Philippe Bouchaud, Damien Challet, Cars Hommes. 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⟩
  • Stanislao Gualdi, Giulio Cimini, Kevin Primicerio, Riccardo Di Clemente, Damien Challet. Statistically validated network of portfolio overlaps and systemic risk. Scientific Reports, Nature Publishing Group, 2016, 6 (1), ⟨10.1038/srep39467⟩. ⟨hal-01705092⟩
  • Damien Challet. Regrets, learning and wisdom. The 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⟩
  • João da Gama Batista, Jean-Philippe Bouchaud, Damien Challet. Sudden trust collapse in networked societies. The 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 using agent-based models. Physics Reports, Elsevier, 2015, 552, pp.1-25. ⟨10.1016/j.physrep.2014.09.006⟩. ⟨hal-00834380⟩
  • Damien Challet, Ahmed Bel Hadj Ayed. Do Google Trend data contain more predictability than price returns?. Journal of Investment Strategies, Arthur Berd, 2015, ⟨10.21314/JOIS.2015.064⟩. ⟨hal-00960875⟩
  • Pier Paolo Peirano, Damien Challet. Baldovin-Stella stochastic volatility process and Wiener process mixtures. The European Physical Journal B: Condensed Matter and Complex Systems, Springer-Verlag, 2012, 85 (8), pp.276. ⟨10.1140/epjb/e2012-30134-y⟩. ⟨hal-00734355⟩

Book sections2 documents

  • Damien Challet. Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions. Springer. New Perspectives and Challenges in Econophysics and Sociophysics, In press, 978-3-030-11363-6. ⟨10.1007/978-3-030-11364-3⟩. ⟨hal-01829337⟩
  • Jean-Philippe Bouchaud, Damien Challet. Why have asset price properties changed so little in 200 years. Econophysics and Sociophysics: Recent Progress and Future Directions, Springer, 2017, 978-3-319-47704-6. ⟨10.1007/978-3-319-47705-3⟩. ⟨hal-01311113⟩

Preprints, Working Papers, ...11 documents

  • Damien Challet, Christian Bongiorno, Guillaume Pelletier. Financial factors selection with knockoffs: fund replication, explanatory and prediction networks. 2021. ⟨hal-03165842⟩
  • Christian Bongiorno, Damien Challet, Grégoire Loeper. Cleaning the covariance matrix of strongly nonstationary systems with time-independent eigenvalues. 2021. ⟨hal-03481441⟩
  • Christian Bongiorno, Damien Challet. The Oracle estimator is suboptimal for global minimum variance portfolio optimisation. 2021. ⟨hal-03491913⟩
  • Christian Bongiorno, Damien Challet. Covariance matrix filtering with bootstrapped hierarchies. 2020. ⟨hal-02506848⟩
  • Christian Bongiorno, Damien Challet. Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning. 2020. ⟨hal-02612262⟩
  • Christian Bongiorno, Damien Challet. Nonparametric sign prediction of high-dimensional correlation matrix coefficients. 2019. ⟨hal-02335586⟩
  • Kevin Primicerio, Damien Challet. Large large-trader activity weakens the long memory of limit order markets. 2019. ⟨hal-02021772⟩
  • Damien Challet, Alessandro Pluchino, Alessio Emanuele Biondo, Andrea Rapisarda. On the origins of extreme wealth inequality in the Talent vs Luck Model. 2019. ⟨hal-02188240⟩
  • 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⟩