Damien Challet

Available identifiers

zbMath Open challet.damienMaRDI QIDQ844568

List of research outcomes

Publication	Date of Publication	Type
Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS	2025-01-06	Paper
When is cross impact relevant?	2024-05-29	Paper
The origins of extreme wealth inequality in the talent versus luck model	2024-05-06	Paper
STATISTICALLY VALIDATED LEAD-LAG NETWORKS AND INVENTORY PREDICTION IN THE FOREIGN EXCHANGE MARKET	2024-03-27	Paper
Sudden trust collapse in networked societies	2023-07-26	Paper
Filtering time-dependent covariance matrices using time-independent eigenvalues	2023-03-07	Paper
Deep prediction of investor interest: A supervised clustering approach	2021-10-12	Paper
The limits of statistical significance of Hawkes processes fitted to financial data	2021-07-16	Paper
The market nanostructure origin of asset price time reversal asymmetry	2021-06-02	Paper
Testing the causality of Hawkes processes with time reversal	2021-03-02	Paper
Strategic Behaviour and Indicative Price Diffusion in Paris Stock Exchange Auctions	2019-07-26	Paper
Minority games with finite score memory	2019-07-12	Paper
Non-constant rates and over-diffusive prices in a simple model of limit order markets	2019-01-14	Paper
A Robust Measure of Investor Contrarian Behaviour	2018-10-11	Paper
Sharper asset ranking from total drawdown durations	2018-04-06	Paper
Sharper asset ranking from total drawdown durations	2015-05-06	Paper
Prediction accuracy and sloppiness of log-periodic functions	2014-02-08	Paper
https://portal.mardi4nfdi.de/entity/Q2863164	2013-11-21	Paper
The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books	2012-06-08	Paper
Emergence of product differentiation from consumer heterogeneity and asymmetric information	2010-06-25	Paper
Inter-pattern speculation: beyond minority, majority and \$-games	2010-01-19	Paper
Optimal approximations of power laws with exponentials: application to volatility models with long memory	2008-01-31	Paper
News and price returns from threshold behaviour and vice-versa: exact solution of an agent-based market model	2007-02-08	Paper
Price return autocorrelation and predictability in agent-based models of financial markets	2006-03-08	Paper
https://portal.mardi4nfdi.de/entity/Q5703095	2005-11-08	Paper
Optimal static and dynamic recycling of defective binary devices	2005-02-01	Paper
https://portal.mardi4nfdi.de/entity/Q4828272	2004-11-24	Paper
Limit order market analysis and modelling: on a universal cause for over-diffusive prices	2003-05-21	Paper
Exact Hurst exponent and crossover behavior in a limit order market model	2002-11-26	Paper
Analyzing and modeling 1+1d markets	2001-10-23	Paper
Minority games and stylized facts	2001-10-23	Paper
Stylized facts of financial markets and market crashes in Minority Games	2001-06-21	Paper
TRADING BEHAVIOR AND EXCESS VOLATILITY IN TOY MARKETS	2001-01-01	Paper
PHASE TRANSITION IN A TOY MARKET	2000-12-19	Paper

Research outcomes over time

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