Bongiorno, C.; Challet, D.; Loeper, G. Filtering time-dependent covariance matrices using time-independent eigenvalues. (English) Zbl 07660794 J. Stat. Mech. Theory Exp. 2023, No. 2, Article ID 023402, 25 p. (2023). MSC: 82-XX PDFBibTeX XMLCite \textit{C. Bongiorno} et al., J. Stat. Mech. Theory Exp. 2023, No. 2, Article ID 023402, 25 p. (2023; Zbl 07660794) Full Text: DOI
Cordi, Marcus; Challet, Damien; Kassibrakis, Serge The market nanostructure origin of asset price time reversal asymmetry. (English) Zbl 1466.91355 Quant. Finance 21, No. 2, 295-304 (2021). MSC: 91G30 PDFBibTeX XMLCite \textit{M. Cordi} et al., Quant. Finance 21, No. 2, 295--304 (2021; Zbl 1466.91355) Full Text: DOI arXiv
Bongiorno, Christian; Challet, Damien Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimisation. arXiv:2112.07521 Preprint, arXiv:2112.07521 [q-fin.PM] (2021). BibTeX Cite \textit{C. Bongiorno} and \textit{D. Challet}, ``Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimisation'', Preprint, arXiv:2112.07521 [q-fin.PM] (2021) Full Text: arXiv OA License
Barreau, Baptiste; Carlier, Laurent; Challet, Damien Deep prediction of investor interest: a supervised clustering approach. (English) Zbl 1471.91494 Algorithm. Finance 8, No. 3-4, 77-89 (2020). MSC: 91G10 68T07 PDFBibTeX XMLCite \textit{B. Barreau} et al., Algorithm. Finance 8, No. 3--4, 77--89 (2020; Zbl 1471.91494) Full Text: DOI arXiv
Bongiorno, Christian; Challet, Damien Reactive Global Minimum Variance Portfolios with \(k-\)BAHC covariance cleaning. arXiv:2005.08703 Preprint, arXiv:2005.08703 [q-fin.PM] (2020). MSC: 91B80 BibTeX Cite \textit{C. Bongiorno} and \textit{D. Challet}, ``Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning'', Preprint, arXiv:2005.08703 [q-fin.PM] (2020) Full Text: arXiv OA License
Challet, Damien Strategic behaviour and indicative price diffusion in Paris stock exchange auctions. (English) Zbl 1422.91296 Abergel, Frédéric (ed.) et al., New perspectives and challenges in econophysics and sociophysics. Cham: Springer. New Econ. Windows, 3-12 (2019). MSC: 91B26 91G99 62P05 PDFBibTeX XMLCite \textit{D. Challet}, in: New perspectives and challenges in econophysics and sociophysics. Cham: Springer. 3--12 (2019; Zbl 1422.91296) Full Text: DOI arXiv
Cordi, Marcus; Challet, Damien; Toke, Ioane Muni Testing the causality of Hawkes processes with time reversal. (English) Zbl 1459.62162 J. Stat. Mech. Theory Exp. 2018, No. 3, Article ID 033408, 25 p. (2018). MSC: 62M07 60G55 62P05 PDFBibTeX XMLCite \textit{M. Cordi} et al., J. Stat. Mech. Theory Exp. 2018, No. 3, Article ID 033408, 25 p. (2018; Zbl 1459.62162) Full Text: DOI arXiv
Challet, Damien Sharper asset ranking from total drawdown durations. (English) Zbl 1398.62286 Appl. Math. Finance 24, No. 1-2, 1-22 (2017). MSC: 62P05 62E15 62G32 PDFBibTeX XMLCite \textit{D. Challet}, Appl. Math. Finance 24, No. 1--2, 1--22 (2017; Zbl 1398.62286) Full Text: DOI arXiv
Lallouache, Mehdi; Challet, Damien The limits of statistical significance of Hawkes processes fitted to financial data. (English) Zbl 1469.91050 Quant. Finance 16, No. 1, 1-11 (2016). Reviewer: Daniel Schoch (Semenyih) MSC: 91G15 62P05 60G55 62M10 PDFBibTeX XMLCite \textit{M. Lallouache} and \textit{D. Challet}, Quant. Finance 16, No. 1, 1--11 (2016; Zbl 1469.91050) Full Text: DOI arXiv
da Gama Batista, João; Bouchaud, Jean-Philippe; Challet, Damien Sudden trust collapse in networked societies. (English) Zbl 1515.91120 Eur. Phys. J. B, Condens. Matter Complex Syst. 88, No. 3, Paper No. 55, 11 p. (2015). MSC: 91D30 82B26 PDFBibTeX XMLCite \textit{J. da Gama Batista} et al., Eur. Phys. J. B, Condens. Matter Complex Syst. 88, No. 3, Paper No. 55, 11 p. (2015; Zbl 1515.91120) Full Text: DOI arXiv
Abergel, Frédéric (ed.); Aiguier, Marc (ed.); Challet, D. (ed.); Cournède, Paul-Henry (ed.); Faÿ, Gilles (ed.); Lafitte, Pauline (ed.) Conference on mathematical modelling of complex systems, MMCS, Châtenay-Malabry, France, December 11–13, 2013. (English) Zbl 1330.00033 ESAIM, Proc. Surv. 47, i, 129 p. (2014). MSC: 00B25 PDFBibTeX XML Full Text: Link
Challet, Damien; Morton de Lachapelle, David A robust measure of investor contrarian behaviour. (English) Zbl 1397.62404 Abergel, Frédéric (ed.) et al., Econophysics of systemic risk and network dynamics. Proceedings of 6th econophys-Kolkata conference, Kolkata, India, October 21–25, 2011. Milano: Springer (ISBN 978-88-470-2552-3/hbk; 978-88-470-2553-0/ebook). New Economic Windows, 105-118 (2013). MSC: 62P05 PDFBibTeX XMLCite \textit{D. Challet} and \textit{D. Morton de Lachapelle}, in: Econophysics of systemic risk and network dynamics. Proceedings of 6th econophys-Kolkata conference, Kolkata, India, October 21--25, 2011. Milano: Springer. 105--118 (2013; Zbl 1397.62404) Full Text: DOI
Brée, David S.; Challet, Damien; Peirano, Pier Paolo Prediction accuracy and sloppiness of log-periodic functions. (English) Zbl 1280.91195 Quant. Finance 13, No. 2, 275-280 (2013). MSC: 91G70 91B84 PDFBibTeX XMLCite \textit{D. S. Brée} et al., Quant. Finance 13, No. 2, 275--280 (2013; Zbl 1280.91195) Full Text: DOI arXiv
Challet, Damien; Marsili, Matteo; Zhang, Yi-Cheng Minority games. Interacting agents in financial markets. Reprint of the 2005 hardback ed. (English) Zbl 1277.91002 Oxford: Oxford University Press (ISBN 978-0-19-968669-8/pbk). xvi, 344 p. (2013). MSC: 91-02 91A10 91B62 00B60 PDFBibTeX XMLCite \textit{D. Challet} et al., Minority games. Interacting agents in financial markets. Reprint of the 2005 hardback ed. Oxford: Oxford University Press (2013; Zbl 1277.91002)
Challet, Damien The tick-by-tick dynamical consistency of price impact in limit order books. (English) Zbl 1239.91181 Appl. Math. Finance 18, No. 3-4, 189-205 (2011). MSC: 91G70 62P05 PDFBibTeX XMLCite \textit{D. Challet}, Appl. Math. Finance 18, No. 3--4, 189--205 (2011; Zbl 1239.91181) Full Text: DOI arXiv
Mosetti, G.; Challet, D.; Solomon, S. Structure-preserving desynchronization of minority games. (English) Zbl 1188.91155 Eur. Phys. J. B, Condens. Matter Complex Syst. 71, No. 4, 573-577 (2009). MSC: 91B80 91A10 PDFBibTeX XMLCite \textit{G. Mosetti} et al., Eur. Phys. J. B, Condens. Matter Complex Syst. 71, No. 4, 573--577 (2009; Zbl 1188.91155) Full Text: DOI arXiv
Lü, L.; Medo, M.; Zhang, Y.-C.; Challet, D. Emergence of product differentiation from consumer heterogeneity and asymmetric information. (English) Zbl 1189.91088 Eur. Phys. J. B, Condens. Matter Complex Syst. 64, No. 2, 293-300 (2008). MSC: 91B42 91B80 PDFBibTeX XMLCite \textit{L. Lü} et al., Eur. Phys. J. B, Condens. Matter Complex Syst. 64, No. 2, 293--300 (2008; Zbl 1189.91088) Full Text: DOI arXiv
Challet, Damien Inter-pattern speculation: beyond minority, majority and $-games. (English) Zbl 1181.91078 J. Econ. Dyn. Control 32, No. 1, 85-100 (2008). MSC: 91B26 91A80 91G99 PDFBibTeX XMLCite \textit{D. Challet}, J. Econ. Dyn. Control 32, No. 1, 85--100 (2008; Zbl 1181.91078) Full Text: DOI arXiv
Bochud, Thierry; Challet, Damien Optimal approximations of power laws with exponentials: Application to volatility models with long memory. (English) Zbl 1151.91484 Quant. Finance 7, No. 6, 585-589 (2007). MSC: 91B28 PDFBibTeX XMLCite \textit{T. Bochud} and \textit{D. Challet}, Quant. Finance 7, No. 6, 585--589 (2007; Zbl 1151.91484) Full Text: DOI Link
Challet, D.; De Martino, A.; Marsili, M.; Perez Castillo, I. Minority games with finite score memory. (English) Zbl 1459.91022 J. Stat. Mech. Theory Exp. 2006, No. 3, Article ID P03004, 22 p. (2006). MSC: 91A40 PDFBibTeX XMLCite \textit{D. Challet} et al., J. Stat. Mech. Theory Exp. 2006, No. 3, Article ID P03004, 22 p. (2006; Zbl 1459.91022) Full Text: DOI arXiv
Challet, Damien News and price returns from threshold behaviour and vice-versa: exact solution of an agent-based market model. (English) Zbl 1197.91163 J. Phys. A, Math. Gen. 39, No. 48, 14845-14849 (2006). MSC: 91B84 91B26 PDFBibTeX XMLCite \textit{D. Challet}, J. Phys. A, Math. Gen. 39, No. 48, 14845--14849 (2006; Zbl 1197.91163) Full Text: DOI arXiv
Challet, Damien; Galla, Tobias Price return autocorrelation and predictability in agent-based models of financial markets. (English) Zbl 1134.91383 Quant. Finance 5, No. 6, 569-576 (2005). MSC: 91B26 91B28 91A80 PDFBibTeX XMLCite \textit{D. Challet} and \textit{T. Galla}, Quant. Finance 5, No. 6, 569--576 (2005; Zbl 1134.91383) Full Text: DOI arXiv
Challet, Damien; Marsili, Matteo; Zhang, Yi-Cheng Minority games. Interacting agents in financial markets. (English) Zbl 1053.91001 Oxford: Oxford University Press (ISBN 0-19-856640-9/hbk). xvi, 344 p. (2005). Reviewer: Milan Mareš (Praha) MSC: 91-02 91A10 91B62 00B60 PDFBibTeX XMLCite \textit{D. Challet} et al., Minority games. Interacting agents in financial markets. Oxford: Oxford University Press (2005; Zbl 1053.91001)
Challet, Damien Competition between adaptive agents: learning and collective efficiency. (English) Zbl 1121.91302 Tumer, Kagan (ed.) et al., Collectives and the design of complex systems. New York, NY: Springer (ISBN 0-387-40165-2/hbk). 145-160 (2004). MSC: 91A10 91A26 PDFBibTeX XMLCite \textit{D. Challet}, in: Collectives and the design of complex systems. New York, NY: Springer. 145--160 (2004; Zbl 1121.91302) Full Text: arXiv
Challet, Damien; Pérez Castillo, Isaac Optimal static and dynamic recycling of defective binary devices. (English) Zbl 1073.82595 J. Stat. Mech. Theory Exp. 2004, No. 11, Paper No. P11003, 15 p. (2004). MSC: 82C32 68T05 92B20 65Y05 PDFBibTeX XMLCite \textit{D. Challet} and \textit{I. Pérez Castillo}, J. Stat. Mech. Theory Exp. 2004, No. 11, Paper No. P11003, 15 p. (2004; Zbl 1073.82595) Full Text: DOI arXiv
Challet, Damien; Stinchcombe, Robin Non-constant rates and over-diffusive prices in a simple model of limit order markets. (English) Zbl 1405.91542 Quant. Finance 3, No. 3, 155-162 (2003). MSC: 91G10 62P05 PDFBibTeX XMLCite \textit{D. Challet} and \textit{R. Stinchcombe}, Quant. Finance 3, No. 3, 155--162 (2003; Zbl 1405.91542) Full Text: DOI
Challet, Damien; Stinchcombe, Robin Limit order market analysis and modelling: on a universal cause for over-diffusive prices. (English) Zbl 1072.91563 Physica A 324, No. 1-2, 141-145 (2003). MSC: 91B26 91B82 PDFBibTeX XMLCite \textit{D. Challet} and \textit{R. Stinchcombe}, Physica A 324, No. 1--2, 141--145 (2003; Zbl 1072.91563) Full Text: DOI arXiv
Willmann, R. D.; Schütz, G. M.; Challet, D. Exact Hurst exponent and crossover behavior in a limit order market model. (English) Zbl 1001.91038 Physica A 316, No. 1-4, 430-440 (2002). MSC: 91B24 91B80 91G80 PDFBibTeX XMLCite \textit{R. D. Willmann} et al., Physica A 316, No. 1--4, 430--440 (2002; Zbl 1001.91038) Full Text: DOI arXiv
Challet, D.; Chessa, A.; Marsili, M.; Zhang, Y.-C. From minority games to real markets. (English) Zbl 1405.91731 Quant. Finance 1, No. 1, 168-176 (2001). MSC: 91G99 91A40 PDFBibTeX XMLCite \textit{D. Challet} et al., Quant. Finance 1, No. 1, 168--176 (2001; Zbl 1405.91731) Full Text: DOI arXiv
Marsili, Matteo; Challet, Damien Trading behavior and excess volatility in toy markets. (English) Zbl 1058.91026 Adv. Complex Syst. 4, No. 1, 3-17 (2001). MSC: 91B26 PDFBibTeX XMLCite \textit{M. Marsili} and \textit{D. Challet}, Adv. Complex Syst. 4, No. 1, 3--17 (2001; Zbl 1058.91026) Full Text: DOI arXiv
Challet, Damien; Marsili, Matteo; Zhang, Yicheng Minority games and stylized facts. (English) Zbl 0974.91019 Physica A 299, No. 1-2, 228-233 (2001). MSC: 91B26 91A80 PDFBibTeX XMLCite \textit{D. Challet} et al., Physica A 299, No. 1--2, 228--233 (2001; Zbl 0974.91019) Full Text: DOI arXiv
Challet, D.; Stinchcombe, R. Analyzing and modeling 1+1d markets. (English) Zbl 0974.91507 Physica A 300, No. 1-2, 285-299 (2001). MSC: 91B26 81P99 PDFBibTeX XMLCite \textit{D. Challet} and \textit{R. Stinchcombe}, Physica A 300, No. 1--2, 285--299 (2001; Zbl 0974.91507) Full Text: DOI arXiv
Challet, D.; Marsili, M.; Zhang, Y.-C. Stylized facts of financial markets and market crashes in Minority Games. (English) Zbl 0978.91029 Physica A 294, No. 3-4, 514-524 (2001). MSC: 91B26 91A40 PDFBibTeX XMLCite \textit{D. Challet} et al., Physica A 294, No. 3--4, 514--524 (2001; Zbl 0978.91029) Full Text: DOI arXiv
Challet, Damien; Marsili, Matteo; Zecchina, Riccardo Phase transition in a toy market. (English) Zbl 0970.91011 Int. J. Theor. Appl. Finance 3, No. 3, 451-454 (2000). MSC: 91A25 91B26 PDFBibTeX XMLCite \textit{D. Challet} et al., Int. J. Theor. Appl. Finance 3, No. 3, 451--454 (2000; Zbl 0970.91011) Full Text: DOI