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Damien Challet

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Personal Details

First Name: Damien
Middle Name:
Last Name: Challet
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RePEc Short-ID: pch419

Email:
Homepage: http://damien.challet.googlepages.com/research
Postal Address:
Phone:

Affiliation

Ecole Centrale Paris, Laboratoire de mathématiques appliquées aux systèmes
Homepage: http://www.mas.ecp.fr
Location: Châtenay-Malabry

Works

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Working papers

  1. Damien Challet & Ahmed Bel Hadj Ayed, 2014. "Do Google Trend data contain more predictability than price returns?," Papers 1403.1715, arXiv.org.
  2. Damien Challet & Ahmed Bel Hadj Ayed, 2013. "Predicting financial markets with Google Trends and not so random keywords," Papers 1307.4643, arXiv.org, revised Mar 2014.
  3. Anirban Chakraborti & Damien Challet & Arnab Chatterjee & Matteo Marsili & Yi-Cheng Zhang & Bikas K. Chakrabarti, 2013. "Statistical Mechanics of Competitive Resource Allocation using Agent-based Models," Papers 1305.2121, arXiv.org, revised Jul 2014.
  4. Pier Paolo Peirano & Damien Challet, 2012. "Baldovin-Stella stochastic volatility process and Wiener process mixtures," Post-Print hal-00734355, HAL.
  5. David Br\'ee & Damien Challet & Pier Paolo Peirano, 2010. "Prediction accuracy and sloppiness of log-periodic functions," Papers 1006.2010, arXiv.org.
  6. Challet, Damien & Solomon, Sorin & Yaari, Gur, 2009. "The Universal Shape of Economic Recession and Recovery after a Shock," Economics Discussion Papers 2009-6, Kiel Institute for the World Economy.
  7. David Morton de Lachapelle & Damien Challet, 2009. "Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior," Papers 0912.4723, arXiv.org, revised Jun 2010.
  8. Damien Challet & Pier Paolo Peirano, 2008. "The Ups and Downs of Modeling Financial Time Series with Wiener Process Mixtures," Papers 0807.4163, arXiv.org, revised Jul 2009.
  9. Linyuan L\"u & Matus Medo & Yi-Cheng Zhang & Damien Challet, 2008. "Emergence of product differentiation from consumer heterogeneity and asymmetric information," Papers 0804.1229, arXiv.org, revised Jun 2008.
  10. Christina Matzke & Damien Challet, 2008. "Taking a shower in Youth Hostels: risks and delights of heterogeneity," Bonn Econ Discussion Papers bgse1_2008, University of Bonn, Germany.
  11. Challet, Damien & Peirano, Pier Paolo, 2008. "The ups and downs of the renormalization group applied to financial time series," MPRA Paper 9770, University Library of Munich, Germany.
  12. Damien Challet, 2007. "The tick-by-tick dynamical consistency of price impact in limit order books," Papers physics/0702210, arXiv.org, revised Jan 2010.
  13. Damien Challet, 2007. "Feedback and efficiency in limit order markets," Papers 0709.3005, arXiv.org, revised Sep 2007.
  14. Damien Challet, 2006. "The demise of constant price impact functions and single-time step models of speculation," Papers physics/0608013, arXiv.org, revised Nov 2006.
  15. Thierry Bochud & Damien Challet, 2006. "Optimal approximations of power-laws with exponentials," Papers physics/0605149, arXiv.org, revised May 2006.
  16. Damien Challet, 2005. "News and price returns from threshold behaviour and vice-versa: exact solution of a simple agent-based market model," Papers physics/0510257, arXiv.org, revised Oct 2006.
  17. Damien Challet, 2005. "Inter-pattern speculation: beyond minority, majority and $-games," Finance 0503006, EconWPA.
  18. Isaac Castillo & Matteo Marsili & Andrea De Martino & Damin Challet, 2004. "Minority games with finite score memory," Working Papers wp04-07, Warwick Business School, Finance Group.
  19. Damien Challet & Matteo Marsili & Gabriele Ottino, 2004. "Shedding light on El Farol," Game Theory and Information 0406002, EconWPA.
  20. Damien Challet & Tobias Galla, 2004. "Price return auto-correlation and predictability in agent-based models of financial markets," Papers cond-mat/0404264, arXiv.org, revised Dec 2004.
  21. Damien Challet & Robin Stinchcombe, 2002. "Limit order market analysis and modelling: on an universal cause for over-diffusive prices," Papers cond-mat/0211082, arXiv.org.
  22. Damien Challet & Matteo Marsili, 2002. "Criticality and finite size effects in a simple realistic model of stock market," Papers cond-mat/0210549, arXiv.org, revised Dec 2002.
  23. R. D. Willmann & G. M. Schuetz & D. Challet, 2002. "Exact Hurst exponent and crossover behavior in a limit order market model," Papers cond-mat/0206446, arXiv.org.
  24. D. Challet & M. Marsili & Y. -C. Zhang, 2001. "Minority Games and stylized facts," Papers cond-mat/0103024, arXiv.org, revised Mar 2001.
  25. Damien Challet & Robin Stinchcombe, 2001. "Analyzing and modelling 1+1d markets," Papers cond-mat/0106114, arXiv.org, revised Jun 2001.
  26. Damien Challet & Matteo Marsili & Yi-Cheng Zhang, 2001. "Stylized facts of financial markets and market crashes in Minority Games," Papers cond-mat/0101326, arXiv.org.
  27. D. Challet & M. Marsili & R. Zecchina, 2000. "Comment on: Thermal model for Adaptive Competition in a Market," Papers cond-mat/0004308, arXiv.org, revised May 2000.
  28. M. Marsili & D. Challet, 2000. "Trading behavior and excess volatility in toy markets," Papers cond-mat/0004376, arXiv.org, revised Jun 2000.
  29. D. Challet & A. Chessa & M. Marsili & Y. -C. Zhang, 2000. "From Minority Games to real markets," Papers cond-mat/0011042, arXiv.org.
  30. Damien Challet & Matteo Marsili & Yi-Cheng Zhang, 1999. "Modeling Market Mechanism with Minority Game," Papers cond-mat/9909265, arXiv.org.

Articles

  1. David S. Brée & Damien Challet & Pier Paolo Peirano, 2013. "Prediction accuracy and sloppiness of log-periodic functions," Quantitative Finance, Taylor & Francis Journals, vol. 13(2), pages 275-280, January.
  2. P. Peirano & D. Challet, 2012. "Baldovin-Stella stochastic volatility process and Wiener process mixtures," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 85(8), pages 1-12, August.
  3. Damien Challet, 2011. "The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(3), pages 189-205.
  4. G. Mosetti & D. Challet & S. Solomon, 2009. "Structure-preserving desynchronization of minority games," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 71(4), pages 573-577, October.
  5. Challet, Damien & Solomon, Sorin & Yaari, Gur, 2009. "The universal shape of economic recession and recovery after a shock," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 3(36), pages 1-24.
  6. L. Lü & M. Medo & Y. Zhang & D. Challet, 2008. "Emergence of product differentiation from consumer heterogeneity and asymmetric information," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 64(2), pages 293-300, July.
  7. Challet, Damien, 2008. "Inter-pattern speculation: Beyond minority, majority and $-games," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 85-100, January.
  8. Challet, Damien, 2008. "Feedback and efficiency in limit order markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3831-3836.
  9. Thierry Bochud & Damien Challet, 2007. "Optimal approximations of power laws with exponentials: application to volatility models with long memory," Quantitative Finance, Taylor & Francis Journals, vol. 7(6), pages 585-589.
  10. Challet, Damien, 2007. "The demise of constant price impact functions and single-time step models of speculation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 29-35.
  11. Mosetti, Giancarlo & Challet, Damien & Zhang, Yi-Cheng, 2006. "Minority games with heterogeneous timescales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 365(2), pages 529-542.
  12. Damien Challet, 2006. "Coolen, A.C.C.: The Mathematical Theory of Minority Games. Statistical Mechanics of Interacting Agents," Journal of Economics, Springer, vol. 88(3), pages 311-314, 09.
  13. Damien Challet & Tobias Galla, 2005. "Price return autocorrelation and predictability in agent-based models of financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 5(6), pages 569-576.
  14. Challet, Damien & Marsili, Matteo & De Martino, Andrea, 2004. "Stylized facts in minority games with memory: a new challenge," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 338(1), pages 143-150.
  15. Challet, Damien & Marsili, M & Ottino, Gabriele, 2004. "Shedding light on El Farol," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 332(C), pages 469-482.
  16. Challet, Damien, 2004. "Minority mechanisms in models of agents learning collectively a resource level," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 24-29.
  17. Damien Challet & Robin Stinchcombe, 2003. "Non-constant rates and over-diffusive prices in a simple model of limit order markets," Quantitative Finance, Taylor & Francis Journals, vol. 3(3), pages 155-162.
  18. Challet, Damien & Stinchcombe, Robin, 2003. "Limit order market analysis and modelling: on a universal cause for over-diffusive prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 141-145.
  19. Willmann, R.D & Schütz, G.M & Challet, D, 2002. "Exact Hurst exponent and crossover behavior in a limit order market model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 430-440.
  20. Challet, Damien & Marsili, Matteo & Zhang, Yi-Cheng, 2001. "Stylized facts of financial markets and market crashes in Minority Games," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 294(3), pages 514-524.
  21. Matteo Marsili & Damien Challet, 2001. "Trading Behavior And Excess Volatility In Toy Markets," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 3-17.
  22. Challet, Damien & Marsili, Matteo & Zhang, Yi-Cheng, 2001. "Minority games and stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 228-233.
  23. Challet, Damien & Stinchcombe, Robin, 2001. "Analyzing and modeling 1+1d markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 300(1), pages 285-299.
  24. D. Challet & A. Chessa & M. Marsili & Y-C. Zhang, 2001. "From Minority Games to real markets," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 168-176.
  25. Challet, Damien & Marsili, Matteo & Zhang, Yi-Cheng, 2000. "Modeling market mechanism with minority game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 276(1), pages 284-315.
  26. Marsili, Matteo & Challet, Damien & Zecchina, Riccardo, 2000. "Exact solution of a modified El Farol's bar problem: Efficiency and the role of market impact," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 280(3), pages 522-553.
  27. Challet, Damien & Zhang, Yi-Cheng, 1998. "On the minority game: Analytical and numerical studies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 256(3), pages 514-532.
  28. Challet, D. & Zhang, Y.-C., 1997. "Emergence of cooperation and organization in an evolutionary game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 246(3), pages 407-418.

Books

  1. Challet, Damien & Marsili, Matteo & Zhang, Yi-Cheng, 2004. "Minority Games: Interacting agents in financial markets," OUP Catalogue, Oxford University Press, number 9780198566403, Octomber.

NEP Fields

11 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2009-03-14
  2. NEP-ECM: Econometrics (1) 2010-06-18
  3. NEP-ETS: Econometric Time Series (2) 2010-06-18 2012-09-30
  4. NEP-FDG: Financial Development & Growth (1) 2009-03-14
  5. NEP-FMK: Financial Markets (2) 2013-07-20 2014-03-15
  6. NEP-FOR: Forecasting (3) 2010-06-18 2013-07-20 2014-03-15. Author is listed
  7. NEP-LAB: Labour Economics (1) 2008-03-08

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