Access Statistics for Damien Challet

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Analyzing and modelling 1+1d markets 0 0 0 27 0 0 0 109
Baldovin-Stella stochastic volatility process and Wiener process mixtures 0 0 0 12 0 0 1 69
Can ChatGPT Compute Trustworthy Sentiment Scores from Bloomberg Market Wraps? 0 7 8 8 0 4 7 7
Cleaning the covariance matrix of strongly nonstationary systems with time-independent eigenvalues 0 0 1 51 0 0 1 8
Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors 0 0 0 0 0 0 0 0
Comment on: Thermal model for Adaptive Competition in a Market 0 0 0 10 0 0 0 47
Covariance matrix filtering and portfolio optimisation: the Average Oracle vs Non-Linear Shrinkage and all the variants of DCC-NLS 0 0 15 15 0 1 26 26
Covariance matrix filtering and portfolio optimisation: the Average Oracle vs Non-Linear Shrinkage and all the variants of DCC-NLS 0 0 0 0 0 1 2 2
Covariance matrix filtering with bootstrapped hierarchies 0 0 0 6 0 0 0 10
Covariance matrix filtering with bootstrapped hierarchies 0 0 0 0 0 0 0 0
Criticality and finite size effects in a simple realistic model of stock market 0 0 0 17 0 0 0 61
Deep Prediction Of Investor Interest: a Supervised Clustering Approach 0 0 0 7 0 0 1 24
Deep Prediction of Investor Interest: a Supervised Clustering Approach 0 0 0 18 0 0 1 29
Dissecting the explanatory power of ESG features on equity returns by sector, capitalization, and year with interpretable machine learning 0 0 0 16 0 0 1 38
Dissecting the explanatory power of ESG features on equity returns by sector, capitalization, and year with interpretable machine learning 0 0 0 59 0 0 2 8
Do Google Trend data contain more predictability than price returns? 0 0 0 70 0 0 1 100
Do Google Trend data contain more predictability than price returns? 0 0 0 2 0 0 1 45
Do investors trade too much? A laboratory experiment 0 0 0 76 0 0 4 79
Do investors trade too much? A laboratory experiment 0 0 0 2 0 0 3 43
Dynamical regularities of US equities opening and closing auctions 0 0 0 6 0 1 1 26
Dynamical regularities of US equities opening and closing auctions 0 0 0 9 0 0 2 25
Emergence of product differentiation from consumer heterogeneity and asymmetric information 0 0 0 18 0 0 2 71
Equity auction dynamics: latent liquidity models with activity acceleration 0 1 1 1 0 1 1 1
Equity auction dynamics: latent liquidity models with activity acceleration 0 3 4 4 0 0 2 2
Exact Hurst exponent and crossover behavior in a limit order market model 0 0 0 28 0 0 1 86
Feedback and efficiency in limit order markets 0 0 0 20 0 0 0 57
Filtering time-dependent covariance matrices using time-independent eigenvalues 0 0 0 0 0 0 0 0
Financial factors selection with knockoffs: fund replication, explanatory and prediction networks 0 0 0 2 0 0 0 7
Financial factors selection with knockoffs: fund replication, explanatory and prediction networks 0 0 0 0 0 0 0 0
From Minority Games to real markets 0 1 1 47 0 1 2 133
Inter-pattern speculation: beyond minority, majority and $-games 0 0 0 84 0 0 0 293
Large large-trader activity weakens the long memory of limit order markets 0 0 0 0 0 0 0 0
Large large-trader activity weakens the long memory of limit order markets 0 0 1 11 0 0 1 18
Limit order market analysis and modelling: on an universal cause for over-diffusive prices 0 0 0 24 0 0 0 62
Minority Games and stylized facts 0 0 0 19 0 0 0 49
Modeling Market Mechanism with Minority Game 0 0 0 67 0 0 1 157
News and price returns from threshold behaviour and vice-versa: exact solution of a simple agent-based market model 0 0 1 9 0 0 1 42
Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimisation 1 1 1 35 1 1 3 11
Nonparametric sign prediction of high-dimensional correlation matrix coefficients 0 0 0 0 0 0 0 0
Nonparametric sign prediction of high-dimensional correlation matrix coefficients 0 0 0 0 0 0 0 9
On the origins of extreme wealth inequality in the Talent vs Luck Model 0 0 0 0 0 1 1 1
One- and two-sample nonparametric tests for the signal-to-noise ratio based on record statistics 0 0 0 32 0 0 2 40
Optimal approximations of power-laws with exponentials 0 0 0 34 0 0 1 143
Predicting financial markets with Google Trends and not so random keywords 0 0 0 0 0 1 1 30
Predicting financial markets with Google Trends and not so random keywords 0 0 0 123 1 3 3 158
Prediction accuracy and sloppiness of log-periodic functions 0 0 0 67 0 1 2 198
Price impact in equity auctions: zero, then linear 0 0 0 8 0 0 2 12
Price impact in equity auctions: zero, then linear 0 0 0 0 0 0 7 10
Price return auto-correlation and predictability in agent-based models of financial markets 0 0 1 29 0 0 1 93
Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning 0 0 0 2 0 0 0 11
Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning 0 0 0 0 0 0 0 0
Recurrent Neural Networks with more flexible memory: better predictions than rough volatility 0 0 12 12 0 0 9 9
Recurrent Neural Networks with more flexible memory: better predictions than rough volatility 0 0 2 2 0 0 4 4
Regrets, learning and wisdom 0 0 0 1 0 1 7 70
Regrets, learning and wisdom 0 0 0 32 0 0 1 31
Sharper asset ranking from total drawdown durations 0 0 0 10 0 0 1 47
Sharper asset ranking from total drawdown durations 0 0 0 0 0 0 0 13
Shedding light on El Farol 0 1 2 172 0 2 3 559
Statistical Mechanics of Competitive Resource Allocation using Agent-based Models 0 0 0 18 0 0 1 69
Statistical inference of lead-lag at various timescales between asynchronous time series from p-values of transfer entropy 0 0 1 28 0 1 4 11
Statistical mechanics of competitive resource allocation using agent-based models 0 0 0 0 0 0 0 9
Statistically validated lead-lag networks and inventory prediction in the foreign exchange market 0 0 0 8 0 0 2 43
Statistically validated leadlag networks and inventory prediction in the foreign exchange market 0 0 0 5 0 0 0 19
Statistically validated network of portfolio overlaps and systemic risk 0 0 0 2 0 0 1 38
Statistically validated network of portfolio overlaps and systemic risk 0 0 0 27 0 0 1 64
Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions 0 0 0 0 0 0 1 19
Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions 0 0 0 29 0 0 0 21
Stylized facts of financial markets and market crashes in Minority Games 0 0 0 28 0 0 0 82
Sudden Trust Collapse in Networked Societies 0 0 0 73 0 0 1 55
Sudden trust collapse in networked societies 0 0 0 0 0 0 1 29
Taking a shower in Youth Hostels: risks and delights of heterogeneity 0 0 1 52 0 2 4 326
Testing the causality of Hawkes processes with time reversal 0 0 0 1 0 0 1 12
Testing the causality of Hawkes processes with time reversal 0 0 0 32 0 0 0 28
The Oracle estimator is suboptimal for global minimum variance portfolio optimisation 0 0 0 0 0 0 0 0
The Universal Shape of Economic Recession and Recovery after a Shock 0 0 0 106 0 0 0 296
The Ups and Downs of Modeling Financial Time Series with Wiener Process Mixtures 0 0 0 17 0 0 0 93
The demise of constant price impact functions and single-time step models of speculation 0 0 0 10 0 0 0 48
The limits of statistical significance of Hawkes processes fitted to financial data 0 0 0 1 0 0 0 10
The limits of statistical significance of Hawkes processes fitted to financial data 0 0 0 8 0 0 0 32
The market nanostructure origin of asset price time reversal asymmetry 0 0 0 0 0 0 0 13
The market nanostructure origin of asset price time reversal asymmetry 0 0 0 7 0 0 1 25
The tick-by-tick dynamical consistency of price impact in limit order books 0 0 0 54 0 0 2 117
The universal shape of economic recession and recovery after a shock 0 0 0 23 0 0 0 96
The ups and downs of the renormalization group applied to financial time series 0 0 1 42 0 0 3 189
Trading behavior and excess volatility in toy markets 0 0 0 18 0 0 0 76
Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior 0 0 0 39 0 1 3 135
When is cross impact relevant? 0 1 2 3 0 2 5 6
When is cross impact relevant? 0 0 1 1 1 1 2 2
Why have asset price properties changed so little in 200 years 0 0 0 51 0 0 0 39
Why have asset price properties changed so little in 200 years 0 0 0 0 0 0 1 10
Wisdom of the institutional crowd 0 0 0 9 0 1 2 32
Wisdom of the institutional crowd 0 0 1 14 0 0 1 22
Total Working Papers 1 15 57 2,010 3 27 150 5,249
9 registered items for which data could not be found


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Analyzing and modeling 1+1d markets 0 0 0 18 1 1 4 67
Baldovin-Stella stochastic volatility process and Wiener process mixtures 0 0 0 2 0 0 0 11
Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors 0 0 0 1 0 0 2 24
Coolen, A.C.C.: The Mathematical Theory of Minority Games. Statistical Mechanics of Interacting Agents 0 0 2 85 0 2 5 207
Covariance matrix filtering with bootstrapped hierarchies 0 0 0 1 0 0 0 6
Dissecting the Explanatory Power of ESG Features on Equity Returns by Sector, Capitalization, and Year with Interpretable Machine Learning 0 0 0 0 0 0 2 3
Do investors trade too much? A laboratory experiment 0 0 1 11 0 0 10 67
Emergence of cooperation and organization in an evolutionary game 1 3 16 125 5 12 48 340
Emergence of product differentiation from consumer heterogeneity and asymmetric information 0 0 0 1 0 0 0 21
Exact Hurst exponent and crossover behavior in a limit order market model 0 0 0 2 0 0 1 26
Exact solution of a modified El Farol's bar problem: Efficiency and the role of market impact 0 0 1 7 0 0 4 67
Feedback and efficiency in limit order markets 0 0 0 4 0 0 0 18
Financial factors selection with knockoffs: Fund replication, explanatory and prediction networks 0 0 0 0 0 0 0 2
From Minority Games to real markets 0 0 0 13 0 0 0 50
Inter-pattern speculation: Beyond minority, majority and $-games 0 0 0 14 0 1 1 90
Limit order market analysis and modelling: on a universal cause for over-diffusive prices 0 0 0 8 0 0 1 22
Minority games and stylized facts 0 0 0 4 0 0 2 19
Minority games with heterogeneous timescales 0 0 0 1 0 0 0 12
Minority mechanisms in models of agents learning collectively a resource level 0 0 0 1 0 0 2 15
Modeling market mechanism with minority game 0 0 0 5 0 0 1 31
Non-constant rates and over-diffusive prices in a simple model of limit order markets 0 1 2 25 0 1 4 71
Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization 0 0 1 1 1 3 4 4
On the minority game: Analytical and numerical studies 0 0 5 45 0 1 8 121
Optimal approximations of power laws with exponentials: application to volatility models with long memory 0 0 0 38 0 0 1 92
PHASE TRANSITION IN A TOY MARKET 0 0 0 1 0 0 3 11
Prediction accuracy and sloppiness of log-periodic functions 0 0 0 1 0 1 1 44
Price return autocorrelation and predictability in agent-based models of financial markets 0 0 0 49 0 1 1 222
Reactive global minimum variance portfolios with k-BAHC covariance cleaning 0 0 0 1 0 0 0 2
Realistic simulation of financial markets: analyzing market behaviors by the third mode of science 0 0 0 10 0 0 1 31
Sharper asset ranking from total drawdown durations 0 0 0 1 0 0 0 15
Shedding light on El Farol 0 0 0 4 0 0 0 34
Structure-preserving desynchronization of minority games 0 0 0 1 0 0 0 19
Stylized facts in minority games with memory: a new challenge 0 0 0 2 0 0 0 10
Stylized facts of financial markets and market crashes in Minority Games 0 0 0 6 0 0 0 27
Sudden trust collapse in networked societies 0 0 0 0 0 0 0 10
THE ORIGINS OF EXTREME WEALTH INEQUALITY IN THE TALENT VERSUS LUCK MODEL 0 0 4 7 0 0 8 36
TRADING BEHAVIOR AND EXCESS VOLATILITY IN TOY MARKETS 0 0 0 1 0 0 0 9
The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books 0 0 0 16 0 0 0 62
The demise of constant price impact functions and single-time step models of speculation 0 0 0 0 0 0 1 13
The limits of statistical significance of Hawkes processes fitted to financial data 0 0 0 0 0 0 0 7
The market nanostructure origin of asset price time reversal asymmetry 0 0 0 0 0 0 0 5
The universal shape of economic recession and recovery after a shock 0 0 1 39 0 0 1 200
Total Journal Articles 1 4 33 551 7 23 116 2,143


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Minority Games: Interacting agents in financial markets 0 0 0 0 0 1 5 1,320
Minority Games: Interacting agents in financial markets 0 0 0 0 1 5 6 2,225
Total Books 0 0 0 0 1 6 11 3,545


Statistics updated 2024-06-06