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Damien Challet

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First Name:Damien
Middle Name:
Last Name:Challet
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RePEc Short-ID:pch419
http://damien.challet.googlepages.com/research

Affiliation

Ecole Centrale Paris, Laboratoire de mathématiques appliquées aux systèmes

http://www.mas.ecp.fr
Châtenay-Malabry

Research output

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Working papers

  1. Christian Bongiorno & Damien Challet, 2020. "Nonparametric sign prediction of high-dimensional correlation matrix coefficients," Papers 2001.11214, arXiv.org.
  2. Damien Challet & Alessandro Pluchino & Alessio Emanuele Biondo & Andrea Rapisarda, 2019. "On the origins of extreme wealth inequality in the Talent vs Luck Model," Working Papers hal-02188240, HAL.
  3. Christian Bongiorno & Damien Challet, 2019. "Nonparametric sign prediction of high-dimensional correlation matrix coefficients," Working Papers hal-02335586, HAL.
  4. Damien Challet & Nikita Gourianov, 2019. "Dynamical regularities of US equities opening and closing auctions," Post-Print hal-01702726, HAL.
  5. Damien Challet, 2019. "Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions," Post-Print hal-01829337, HAL.
  6. Baptiste Barreau & Laurent Carlier & Damien Challet, 2019. "Deep Prediction of Investor Interest: a Supervised Clustering Approach," Papers 1909.05289, arXiv.org, revised Nov 2019.
  7. Marcus Cordi & Damien Challet & Serge Kassibrakis, 2019. "The market nanostructure origin of asset price time reversal asymmetry," Papers 1901.00834, arXiv.org.
  8. Marcus Cordi & Damien Challet & Serge Kassibrakis, 2018. "The market nanostructure origin of asset price time reversal asymmetry," Post-Print hal-01966419, HAL.
  9. Damien Challet, 2018. "Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions," Papers 1807.00573, arXiv.org.
  10. Kevin Primicerio & Damien Challet, 2018. "Large large-trader activity weakens the long memory of limit order markets," Papers 1803.08390, arXiv.org.
  11. Damien Challet & Rémy Chicheportiche & Mehdi Lallouache & Serge Kassibrakis, 2018. "Statistically validated leadlag networks and inventory prediction in the foreign exchange market," Post-Print hal-01705087, HAL.
  12. Damien Challet & Nikita Gourianov, 2018. "Dynamical regularities of US equities opening and closing auctions," Papers 1802.01921, arXiv.org, revised Oct 2018.
  13. Marcus Cordi & Damien Challet & Ioane Muni Toke, 2018. "Testing the causality of Hawkes processes with time reversal," Post-Print hal-01593448, HAL.
  14. Damien Challet, 2017. "Sharper asset ranking from total drawdown durations," Post-Print hal-01149704, HAL.
  15. Marcus Cordi & Damien Challet & Ioane Muni Toke, 2017. "Testing the causality of Hawkes processes with time reversal," Papers 1709.08516, arXiv.org.
  16. Kevin Primicerio & Damien Challet & Stanislao Gualdi, 2017. "Wisdom of the institutional crowd," Papers 1703.01989, arXiv.org, revised Sep 2017.
  17. Damien Challet & João da Gama Batista & Jean-Philippe Bouchaud & Cars Hommes & Domenico Massaro, 2017. "Do investors trade too much? A laboratory experiment," Post-Print hal-01244465, HAL.
  18. Jean-Philippe Bouchaud & Damien Challet, 2017. "Why have asset price properties changed so little in 200 years," Post-Print hal-01311113, HAL.
  19. Damien Challet & Stanislao Gualdi & Giulio Cimini & Kevin Primicerio & Riccardo Di Clemente, 2016. "Statistically validated network of portfolio overlaps and systemic risk," Post-Print hal-01705092, HAL.
  20. Stanislao Gualdi & Giulio Cimini & Kevin Primicerio & Riccardo Di Clemente & Damien Challet, 2016. "Statistically validated network of portfolio overlaps and systemic risk," Papers 1603.05914, arXiv.org, revised Sep 2016.
  21. Mehdi Lallouache & Damien Challet, 2016. "The limits of statistical significance of Hawkes processes fitted to financial data," Post-Print hal-01134105, HAL.
  22. Damien Challet, 2016. "Regrets, learning and wisdom," Post-Print hal-01312973, HAL.
  23. Jean-Philippe Bouchaud & Damien Challet, 2016. "Why have asset price properties changed so little in 200 years," Papers 1605.00634, arXiv.org.
  24. Damien Challet, 2016. "Regrets, learning and wisdom," Papers 1605.01052, arXiv.org.
  25. Damien Challet & R'emy Chicheportiche & Mehdi Lallouache & Serge Kassibrakis, 2016. "Statistically validated lead-lag networks and inventory prediction in the foreign exchange market," Papers 1609.04640, arXiv.org, revised Jul 2018.
  26. Anirban Chakraborti & Damien Challet, 2015. "Statistical mechanics of competitive resource allocation using agent-based models," Post-Print hal-01340039, HAL.
  27. Damien Challet & Ahmed Bel Hadj Ayed, 2015. "Does Google Trends data contain more predictability than price returns?," Post-Print hal-00960875, HAL.
  28. João da Gama Batista & Jean-Philippe Bouchaud & Damien Challet, 2015. "Sudden trust collapse in networked societies," Post-Print hal-01119120, HAL.
  29. Joao da Gama Batista & Domenico Massaro & Jean-Philippe Bouchaud & Damien Challet & Cars Hommes, 2015. "Do investors trade too much? A laboratory experiment," Papers 1512.03743, arXiv.org.
  30. Damien Challet, 2015. "One- and two-sample nonparametric tests for the signal-to-noise ratio based on record statistics," Papers 1502.05367, arXiv.org, revised Jul 2015.
  31. Damien Challet, 2015. "Sharper asset ranking from total drawdown durations," Papers 1505.01333, arXiv.org, revised Feb 2017.
  32. Anirban Chakraborti & Damien Challet & Arnab Chatterjee & Matteo Marsili & Yi-Cheng Zhang & Bikas K. Chakrabarti, 2015. "Statistical Mechanics of Competitive Resource Allocation," Post-Print hal-00834380, HAL.
  33. Mehdi Lallouache & Damien Challet, 2014. "The limits of statistical significance of Hawkes processes fitted to financial data," Papers 1406.3967, arXiv.org, revised Mar 2015.
  34. Jo~ao da Gama Batista & Jean-Philippe Bouchaud & Damien Challet, 2014. "Sudden Trust Collapse in Networked Societies," Papers 1409.8321, arXiv.org, revised Mar 2015.
  35. Damien Challet & Ahmed Bel Hadj Ayed, 2014. "Do Google Trend data contain more predictability than price returns?," Papers 1403.1715, arXiv.org.
  36. 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.
  37. 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 Sep 2014.
  38. Challet Damien & Bel Hadj Ayed Ahmed, 2013. "Predicting financial markets with Google Trends and not so random keywords," Working Papers hal-00851637, HAL.
  39. Pier Paolo Peirano & Damien Challet, 2012. "Baldovin-Stella stochastic volatility process and Wiener process mixtures," Post-Print hal-00734355, HAL.
  40. David Br'ee & Damien Challet & Pier Paolo Peirano, 2010. "Prediction accuracy and sloppiness of log-periodic functions," Papers 1006.2010, arXiv.org.
  41. 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.
  42. 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 (IfW).
  43. 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.
  44. Linyuan Lu & 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.
  45. 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.
  46. Matzke, Christina & Challet, Damien, 2008. "Taking a shower in Youth Hostels: risks and delights of heterogeneity," Bonn Econ Discussion Papers 1/2008, University of Bonn, Bonn Graduate School of Economics (BGSE).
  47. Damien Challet, 2007. "Feedback and efficiency in limit order markets," Papers 0709.3005, arXiv.org, revised Sep 2007.
  48. Damien Challet, 2007. "The tick-by-tick dynamical consistency of price impact in limit order books," Papers physics/0702210, arXiv.org, revised Jan 2010.
  49. Thierry Bochud & Damien Challet, 2006. "Optimal approximations of power-laws with exponentials," Papers physics/0605149, arXiv.org, revised May 2006.
  50. 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.
  51. Damien Challet, 2005. "Inter-pattern speculation: beyond minority, majority and $-games," Finance 0503006, University Library of Munich, Germany.
  52. 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.
  53. 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.
  54. 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.
  55. Damien Challet & Matteo Marsili & Gabriele Ottino, 2004. "Shedding light on El Farol," Game Theory and Information 0406002, University Library of Munich, Germany.
  56. 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.
  57. 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.
  58. 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.
  59. 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.
  60. Damien Challet & Robin Stinchcombe, 2001. "Analyzing and modelling 1+1d markets," Papers cond-mat/0106114, arXiv.org, revised Jun 2001.
  61. D. Challet & M. Marsili & Y. -C. Zhang, 2001. "Minority Games and stylized facts," Papers cond-mat/0103024, arXiv.org, revised Mar 2001.
  62. M. Marsili & D. Challet, 2000. "Trading behavior and excess volatility in toy markets," Papers cond-mat/0004376, arXiv.org, revised Jun 2000.
  63. D. Challet & A. Chessa & M. Marsili & Y. -C. Zhang, 2000. "From Minority Games to real markets," Papers cond-mat/0011042, arXiv.org.
  64. 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.
  65. Damien Challet & Matteo Marsili & Yi-Cheng Zhang, 1999. "Modeling Market Mechanism with Minority Game," Papers cond-mat/9909265, arXiv.org.

Articles

  1. Damien Challet, 2018. "Realistic simulation of financial markets: analyzing market behaviors by the third mode of science," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(1), pages 195-196, April.
  2. da Gama Batista, João & Massaro, Domenico & Bouchaud, Jean-Philippe & Challet, Damien & Hommes, Cars, 2017. "Do investors trade too much? A laboratory experiment," Journal of Economic Behavior & Organization, Elsevier, vol. 140(C), pages 18-34.
  3. Damien Challet, 2017. "Sharper asset ranking from total drawdown durations," Applied Mathematical Finance, Taylor & Francis Journals, vol. 24(1), pages 1-22, January.
  4. Mehdi Lallouache & Damien Challet, 2016. "The limits of statistical significance of Hawkes processes fitted to financial data," Quantitative Finance, Taylor & Francis Journals, vol. 16(1), pages 1-11, January.
  5. João Gama Batista & Jean-Philippe Bouchaud & Damien Challet, 2015. "Sudden trust collapse in networked societies," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 88(3), pages 1-11, March.
  6. 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.
  7. 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;EDP Sciences, vol. 85(8), pages 1-12, August.
  8. 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.
  9. G. Mosetti & D. Challet & S. Solomon, 2009. "Structure-preserving desynchronization of minority games," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 71(4), pages 573-577, October.
  10. 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 (IfW), vol. 3, pages 1-24.
  11. 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;EDP Sciences, vol. 64(2), pages 293-300, July.
  12. 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.
  13. Challet, Damien, 2008. "Feedback and efficiency in limit order markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3831-3836.
  14. 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.
  15. 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.
  16. 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, September.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. 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.
  24. 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.
  25. 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.
  26. 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.
  27. 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.
  28. 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.
  29. 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.
  30. 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.
  31. Damien Challet & Matteo Marsili & Riccardo Zecchina, 2000. "Phase Transition In A Toy Market," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 451-454.
  32. 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.
  33. 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.
  34. 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.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 23 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (5) 2010-06-18 2015-02-28 2015-05-09 2017-10-01 2019-12-16. Author is listed
  2. NEP-FOR: Forecasting (5) 2010-06-18 2013-07-20 2014-03-15 2019-09-16 2019-09-16. Author is listed
  3. NEP-FMK: Financial Markets (4) 2013-07-20 2014-03-15 2015-12-20 2018-07-09
  4. NEP-HPE: History & Philosophy of Economics (4) 2016-05-08 2016-05-21 2017-03-19 2017-04-09
  5. NEP-MST: Market Microstructure (4) 2015-12-20 2018-02-26 2018-04-09 2019-01-14
  6. NEP-CMP: Computational Economics (3) 2014-10-22 2019-09-16 2019-09-16
  7. NEP-ETS: Econometric Time Series (3) 2010-06-18 2012-09-30 2017-10-01
  8. NEP-BIG: Big Data (2) 2019-09-16 2019-09-16
  9. NEP-DES: Economic Design (2) 2018-02-26 2018-07-09
  10. NEP-CBA: Central Banking (1) 2009-03-14
  11. NEP-CBE: Cognitive & Behavioural Economics (1) 2015-12-20
  12. NEP-CDM: Collective Decision-Making (1) 2016-05-08
  13. NEP-EXP: Experimental Economics (1) 2015-12-20
  14. NEP-FDG: Financial Development & Growth (1) 2009-03-14
  15. NEP-HIS: Business, Economic & Financial History (1) 2016-05-21
  16. NEP-KNM: Knowledge Management & Knowledge Economy (1) 2018-07-09
  17. NEP-NET: Network Economics (1) 2014-10-22
  18. NEP-PKE: Post Keynesian Economics (1) 2016-05-08
  19. NEP-RMG: Risk Management (1) 2016-04-04
  20. NEP-SOC: Social Norms & Social Capital (1) 2014-10-22
  21. NEP-SOG: Sociology of Economics (1) 2016-09-18

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