Damien Challet : Citation Profile


Are you Damien Challet?

13

H index

15

i10 index

800

Citations

RESEARCH PRODUCTION:

39

Articles

79

Papers

2

Books

RESEARCH ACTIVITY:

   25 years (1997 - 2022). See details.
   Cites by year: 32
   Journals where Damien Challet has often published
   Relations with other researchers
   Recent citing documents: 56.    Total self citations: 25 (3.03 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch419
   Updated: 2022-11-19    RAS profile: 2022-10-15    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Massaro, Domenico (2)

Hommes, Cars (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Damien Challet.

Is cited by:

Kets, Willemien (20)

Tuinstra, Jan (18)

Zhou, Wei-Xing (16)

Farmer, J. (15)

Sonnemans, Joep (14)

Ghosh, Diptesh (13)

Devetag, Giovanna (13)

Fagiolo, Giorgio (12)

Valente, Marco (12)

Savona, Roberto (10)

Mantegna, Rosario (9)

Cites to:

Farmer, J. (23)

Mantegna, Rosario (19)

Hommes, Cars (10)

Fama, Eugene (7)

Kirman, Alan (7)

Odean, Terrance (7)

Potters, Marc (7)

Calvet, Laurent (6)

Grinblatt, Mark (6)

Barber, Brad (6)

Noussair, Charles (6)

Main data


Where Damien Challet has published?


Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications16
Quantitative Finance7
The European Physical Journal B: Condensed Matter and Complex Systems4
Advances in Complex Systems (ACS)2
Applied Mathematical Finance2
Journal of Economic Interaction and Coordination2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org48
Post-Print / HAL16
Working Papers / HAL10

Recent works citing Damien Challet (2022 and 2021)


YearTitle of citing document
2021Robust Mathematical Formulation and Implementation of Agent-Based Computational Economic Market Models. (2019). Trimborn, Torsten ; Pabich, Emma ; Otte, Philipp ; Frank, Martin ; Cramer, Simon ; Beikirch, Maximilian. In: Papers. RePEc:arx:papers:1904.04951.

Full description at Econpapers || Download paper

2021Minority games played by arbitrageurs on the energy market. (2020). Meyer-Ortmanns, Hildegard ; Ritmeester, Tim. In: Papers. RePEc:arx:papers:2012.10475.

Full description at Econpapers || Download paper

2021The COVID Crash of the 2020 U.S. Stock Market. (2021). Zhu, Wei ; Song, Ruiqiang ; Shu, Min. In: Papers. RePEc:arx:papers:2101.03625.

Full description at Econpapers || Download paper

2021DKPRG or how to succeed in the Kolkata Paise Restaurant gamevia TSP. (2021). Kastampolidou, Kalliopi ; Papalitsas, Christos ; Andronikos, Theodore. In: Papers. RePEc:arx:papers:2101.07760.

Full description at Econpapers || Download paper

2021Pyramid scheme in stock market: a kind of financial market simulation. (2021). Du, Guangle ; Shi, Yong ; Li, BO. In: Papers. RePEc:arx:papers:2102.02179.

Full description at Econpapers || Download paper

2021The Physics of Financial Networks. (2021). Garlaschelli, Diego ; Cimini, Giulio ; Caccioli, Fabio ; Battiston, Stefano ; Barucca, Paolo ; Bardoscia, Marco ; Caldarelli, Guido ; Squartini, Tiziano ; Saracco, Fabio. In: Papers. RePEc:arx:papers:2103.05623.

Full description at Econpapers || Download paper

2021Financial factors selection with knockoffs: fund replication, explanatory and prediction networks. (2021). Pelletier, Guillaume ; Bongiorno, Christian ; Challet, Damien. In: Papers. RePEc:arx:papers:2103.05921.

Full description at Econpapers || Download paper

2021The Stable Marriage Problem: an Interdisciplinary Review from the Physicists Perspective. (2021). Zhang, Yi-Cheng ; Zhou, Lei ; Zhao, Jianyang ; Baybusinov, Izat B ; Fenoaltea, Enrico Maria. In: Papers. RePEc:arx:papers:2103.11458.

Full description at Econpapers || Download paper

2022Bounded rationality for relaxing best response and mutual consistency: An information-theoretic model of partial self-reference. (2021). Prokopenko, Mikhail ; Evans, Benjamin Patrick. In: Papers. RePEc:arx:papers:2106.15844.

Full description at Econpapers || Download paper

2021Financial Return Distributions: Past, Present, and COVID-19. (2021). Zd, Stanislaw Dro ; Kwapie, Jaroslaw ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:2107.06659.

Full description at Econpapers || Download paper

2021LOB modeling using Hawkes processes with a state-dependent factor. (2021). Toke, Ioane Muni ; Sfendourakis, Emmanouil. In: Papers. RePEc:arx:papers:2107.12872.

Full description at Econpapers || Download paper

2022Systemic risk in interbank networks: disentangling balance sheets and network effects. (2021). Cimini, Giulio ; Ferracci, Alessandro. In: Papers. RePEc:arx:papers:2109.14360.

Full description at Econpapers || Download paper

2022The Oracle estimator is suboptimal for global minimum variance portfolio optimisation. (2021). Challet, Damien ; Bongiorno, Christian. In: Papers. RePEc:arx:papers:2112.07521.

Full description at Econpapers || Download paper

2021Macroeconomic and financial management in an uncertain world: What can we learn from complexity science?. (2021). Sitthiyot, Thitithep. In: Papers. RePEc:arx:papers:2112.15294.

Full description at Econpapers || Download paper

2022Stability of Chinas Stock Market: Measure and Forecast by Ricci Curvature on Network. (2022). Lin, Haibo ; Feng, Liu ; Zhang, Ning ; zhao, liang ; Wang, Xinyu. In: Papers. RePEc:arx:papers:2204.06692.

Full description at Econpapers || Download paper

2022Multi-Asset Bubbles Equilibrium Price Dynamics. (2022). Cordoni, Francesco. In: Papers. RePEc:arx:papers:2206.01468.

Full description at Econpapers || Download paper

2022A statistical test of market efficiency based on information theory. (2022). Garcin, Matthieu ; Brouty, Xavier. In: Papers. RePEc:arx:papers:2208.11976.

Full description at Econpapers || Download paper

2022Rise of NBFIs and the Global Structural Change in the Transmission of Market Shocks. (2022). Shinozaki, Yuji ; Koide, Yoshiyasu ; Hogen, Yoshihiko. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp22e14.

Full description at Econpapers || Download paper

2021Average payoff-driven or imitation? A new evidence from evolutionary game theory in finite populations. (2021). Shi, Lei ; Shen, Chen ; Du, Chunpeng ; Geng, Yini ; Hong, Lijun. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:394:y:2021:i:c:s0096300320307372.

Full description at Econpapers || Download paper

2021Synchronization in human decision-making. (2021). de Peretti, Philippe ; Frolov, Maxime ; Andersen, Jorgen Vitting ; Liu, Yi-Fang. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:143:y:2021:i:c:s0960077920309139.

Full description at Econpapers || Download paper

2021An epidemiological model with voluntary quarantine strategies governed by evolutionary game dynamics. (2021). Javarone, Marco A ; de Oliveira, Marcelo M ; Amaral, Marco A. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:143:y:2021:i:c:s0960077920310079.

Full description at Econpapers || Download paper

2022Attaining herd immunity to a new infectious disease through multi-stage policies incentivising voluntary vaccination. (2022). Sarkar, Sumit ; Guha, Apratim ; Silpa, P S ; Sheth, Sarjan ; Kejriwal, Saransh. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:154:y:2022:i:c:s096007792101064x.

Full description at Econpapers || Download paper

2021Identification of information networks in stock markets. (2021). Baltakys, Kstutis ; Kanniainen, Juho ; Baltakien, Margarita. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001524.

Full description at Econpapers || Download paper

2021The ‘COVID’ crash of the 2020 U.S. Stock market. (2021). Zhu, Wei ; Song, Ruiqiang ; Shu, Min. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001170.

Full description at Econpapers || Download paper

2021Addressing systemic risk using contingent convertible debt – A network analysis. (2021). Lu, Yueliang ; Wang, Runzu ; Gupta, Aparna. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:1:p:263-277.

Full description at Econpapers || Download paper

2021Common asset holdings and systemic vulnerability across multiple types of financial institution. (2021). Silvestri, Laura ; Mahmood, Tahir ; Barucca, Paolo. In: Journal of Financial Stability. RePEc:eee:finsta:v:52:y:2021:i:c:s1572308920301133.

Full description at Econpapers || Download paper

2021Hawkes processes in insurance: Risk model, application to empirical data and optimal investment. (2021). Zeller, Gabriela ; Zagst, Rudi ; Swishchuk, Anatoliy. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pa:p:107-124.

Full description at Econpapers || Download paper

2021Heuristics in experiments with infinitely large strategy spaces. (2021). de Peretti, Philippe ; Andersen, Jorgen Vitting. In: Journal of Business Research. RePEc:eee:jbrese:v:129:y:2021:i:c:p:612-620.

Full description at Econpapers || Download paper

2021An agent-based model of intra-day financial markets dynamics. (2021). Napoletano, Mauro ; Staccioli, Jacopo. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:182:y:2021:i:c:p:331-348.

Full description at Econpapers || Download paper

2021Investors’ attention and information losses under market stress. (2021). Philippas, Dionisis ; Nguyen, Duc Khuong ; Goutte, Stéphane ; Dragomirescu-Gaina, Catalin. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:191:y:2021:i:c:p:1112-1127.

Full description at Econpapers || Download paper

2021Parallel Minority Game and it’s application in movement optimization during an epidemic. (2021). Kr, Amit ; Biswas, Soumyajyoti. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:561:y:2021:i:c:s0378437120306713.

Full description at Econpapers || Download paper

2021Unfixed-neighbor-mechanism promotes cooperation in evolutionary snowdrift game on lattice. (2021). Liu, Xingwen ; Hu, Xiang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:572:y:2021:i:c:s0378437121001825.

Full description at Econpapers || Download paper

2021Minority games played by arbitrageurs on the energy market. (2021). Meyer-Ortmanns, Hildegard ; Ritmeester, Tim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:573:y:2021:i:c:s0378437121001990.

Full description at Econpapers || Download paper

2021Boltzmann-like income distribution in low and middle income classes: Evidence from the United Kingdom. (2021). , Yongtao ; Tao, Yong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:578:y:2021:i:c:s0378437121003873.

Full description at Econpapers || Download paper

2021Financial factors selection with knockoffs: Fund replication, explanatory and prediction networks. (2021). Bongiorno, Christian ; Challet, Damien ; Pelletier, Guillaume. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:580:y:2021:i:c:s0378437121003782.

Full description at Econpapers || Download paper

2021Self-organized Speculation Game for the spontaneous emergence of financial stylized facts. (2021). Akiyama, Eizo ; Chen, YU ; Katahira, Kei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:582:y:2021:i:c:s0378437121005008.

Full description at Econpapers || Download paper

2021Sleeping sickness: An agent-based model approach. (2021). Espindola, Aquino L. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:582:y:2021:i:c:s0378437121005550.

Full description at Econpapers || Download paper

2021Imitation of success leads to cost of living mediated fairness in the Ultimatum Game. (2021). Griffin, Christopher ; Belmonte, Andrew ; Chen, Yunong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:583:y:2021:i:c:s0378437121006014.

Full description at Econpapers || Download paper

2022Bubble detection in Greek Stock Market: A DS-LPPLS model approach. (2022). Karakasidis, Theodoros ; Papastamatiou, Konstantinos. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:587:y:2022:i:c:s0378437121008062.

Full description at Econpapers || Download paper

2022Simplified calculations of time correlation functions in non-stationary complex financial systems. (2022). Jiang, Xiong-Fei ; Li, Yan ; Zheng, BO ; Jin, Li-fu ; Zhang, Jiu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:589:y:2022:i:c:s0378437121008736.

Full description at Econpapers || Download paper

2022A new measure of the resilience for networks of funds with applications to socially responsible investments. (2022). nicolosi, marco ; Dalo, Ambrogio ; Ciciretti, Rocco ; Cerqueti, Roy. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:593:y:2022:i:c:s037843712200070x.

Full description at Econpapers || Download paper

2022Robust one-way trading with limited number of transactions and heuristics for fixed transaction costs. (2022). Lan, Yingjie ; Wang, Wei. In: International Journal of Production Economics. RePEc:eee:proeco:v:247:y:2022:i:c:s0925527322000305.

Full description at Econpapers || Download paper

2021Minimax estimation of covariance and precision matrices for high-dimensional time series with long-memory. (2021). Chung, Jongik ; Park, Cheolwoo ; Zhang, Qihu. In: Statistics & Probability Letters. RePEc:eee:stapro:v:177:y:2021:i:c:s0167715221001395.

Full description at Econpapers || Download paper

2021COVID-19, public agglomerations and economic effects: Assessing the recovery time of passenger transport services in Brazil. (2021). de Almeida, Vinicius ; Perobelli, Fernando Salgueiro ; Proque, Andressa Lemes ; Faria, Weslem Rodrigues ; Betarelli, Admir Antonio. In: Transport Policy. RePEc:eee:trapol:v:110:y:2021:i:c:p:254-272.

Full description at Econpapers || Download paper

2021Methodology for Building Traders Investment Strategy Based on Assessment of the Market Value of the Company. (2021). Zemlianska, Nataliia ; Wielki, Janusz ; Sytnik, Inessa ; Stopochkin, Artem. In: European Research Studies Journal. RePEc:ers:journl:v:xxiv:y:2021:i:1:p:913-935.

Full description at Econpapers || Download paper

2021Modeling Market Order Arrivals on the German Intraday Electricity Market with the Hawkes Process. (2021). Kiesel, Rudiger ; von Luckner, Nikolaus Graf. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:4:p:161-:d:530243.

Full description at Econpapers || Download paper

2022Evolutionary Game Analysis on Innovation Behavior of Digital Financial Enterprises under the Dynamic Reward and Punishment Mechanism of Government. (2022). Cheng, Sijie ; Liu, Yue ; Fu, Hao. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:19:p:12561-:d:932091.

Full description at Econpapers || Download paper

2021Deep Prediction Of Investor Interest: a Supervised Clustering Approach. (2021). Challet, Damien ; Carlier, Laurent ; Barreau, Baptiste. In: Post-Print. RePEc:hal:journl:hal-02276055.

Full description at Econpapers || Download paper

2022A statistical test of market efficiency based on information theory. (2022). Garcin, Matthieu ; Brouty, Xavier. In: Working Papers. RePEc:hal:wpaper:hal-03760478.

Full description at Econpapers || Download paper

2022Conception d’un modèle microscopique adapté aux marchés financiers émergents. (2022). Lekhal, Mostafa ; el Oubani, Ahmed. In: Journal of Academic Finance. RePEc:jaf:journl:v:13:y:2022:i:1:n:398.

Full description at Econpapers || Download paper

2021An empirical behavioral order-driven model with price limit rules. (2021). Zhang, Wei ; Xu, Hai-Chuan ; Xiong, Xiong ; Gu, Gao-Feng ; Zhou, Wei-Xing ; Chen, Wei. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00288-4.

Full description at Econpapers || Download paper

2021Predator–prey model for stock market fluctuations. (2021). Montero, Miquel. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:16:y:2021:i:1:d:10.1007_s11403-020-00284-4.

Full description at Econpapers || Download paper

2021Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors. (2021). Gualdi, Stanislao ; Challet, Damien ; Primicerio, Kevin. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:16:y:2021:i:1:d:10.1007_s11403-020-00288-0.

Full description at Econpapers || Download paper

2022Introduction to the special issue on the 24th annual Workshop on Economic science with Heterogeneous Interacting Agents, London, 2019 (WEHIA 2019). (2022). Righi, Simone ; Iori, Giulia ; di Matteo, Tiziana ; Caccioli, Fabio ; Livan, Giacomo ; Jafarey, Saqib. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:17:y:2022:i:2:d:10.1007_s11403-022-00354-9.

Full description at Econpapers || Download paper

2021Growth and dynamics of Econophysics: a bibliometric and network analysis. (2021). Khurana, Parul ; Sharma, Kiran. In: Scientometrics. RePEc:spr:scient:v:126:y:2021:i:5:d:10.1007_s11192-021-03884-4.

Full description at Econpapers || Download paper

2022Investor types trading around the short?term reversal pattern. (2022). Ulku, Numan ; Onishchenko, Olena. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2627-2647.

Full description at Econpapers || Download paper

Works by Damien Challet:


YearTitleTypeCited
2007Feedback and efficiency in limit order markets In: Papers.
[Full Text][Citation analysis]
paper0
2008Feedback and efficiency in limit order markets.(2008) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2009The universal shape of economic recession and recovery after a shock In: Papers.
[Full Text][Citation analysis]
paper6
2009The Universal Shape of Economic Recession and Recovery after a Shock.(2009) In: Economics Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2009The universal shape of economic recession and recovery after a shock.(2009) In: Economics - The Open-Access, Open-Assessment E-Journal (2007-2020).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
article
2008Emergence of product differentiation from consumer heterogeneity and asymmetric information In: Papers.
[Full Text][Citation analysis]
paper3
2008Emergence of product differentiation from consumer heterogeneity and asymmetric information.(2008) In: The European Physical Journal B: Condensed Matter and Complex Systems.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
2009The Ups and Downs of Modeling Financial Time Series with Wiener Process Mixtures In: Papers.
[Full Text][Citation analysis]
paper1
2010Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior In: Papers.
[Full Text][Citation analysis]
paper6
2010Prediction accuracy and sloppiness of log-periodic functions In: Papers.
[Full Text][Citation analysis]
paper17
2013Prediction accuracy and sloppiness of log-periodic functions.(2013) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
article
2014Statistical Mechanics of Competitive Resource Allocation using Agent-based Models In: Papers.
[Full Text][Citation analysis]
paper25
2015Statistical mechanics of competitive resource allocation using agent-based models.(2015) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25
paper
2014Predicting financial markets with Google Trends and not so random keywords In: Papers.
[Full Text][Citation analysis]
paper6
2013Predicting financial markets with Google Trends and not so random keywords.(2013) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 6
paper
2014Do Google Trend data contain more predictability than price returns? In: Papers.
[Full Text][Citation analysis]
paper6
2015Do Google Trend data contain more predictability than price returns?.(2015) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2015The limits of statistical significance of Hawkes processes fitted to financial data In: Papers.
[Full Text][Citation analysis]
paper16
2016The limits of statistical significance of Hawkes processes fitted to financial data.(2016) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2016The limits of statistical significance of Hawkes processes fitted to financial data.(2016) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
article
2015Sudden Trust Collapse in Networked Societies In: Papers.
[Full Text][Citation analysis]
paper6
2015Sudden trust collapse in networked societies.(2015) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2015Sudden trust collapse in networked societies.(2015) In: The European Physical Journal B: Condensed Matter and Complex Systems.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
article
2015One- and two-sample nonparametric tests for the signal-to-noise ratio based on record statistics In: Papers.
[Full Text][Citation analysis]
paper0
2017Sharper asset ranking from total drawdown durations In: Papers.
[Full Text][Citation analysis]
paper0
2017Sharper asset ranking from total drawdown durations.(2017) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2017Sharper asset ranking from total drawdown durations.(2017) In: Applied Mathematical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2015Do investors trade too much? A laboratory experiment In: Papers.
[Full Text][Citation analysis]
paper8
2017Do investors trade too much? A laboratory experiment.(2017) In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
article
2017Do investors trade too much? A laboratory experiment.(2017) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2016Statistically validated network of portfolio overlaps and systemic risk In: Papers.
[Full Text][Citation analysis]
paper27
2016Statistically validated network of portfolio overlaps and systemic risk.(2016) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27
paper
2016Why have asset price properties changed so little in 200 years In: Papers.
[Full Text][Citation analysis]
paper6
2017Why have asset price properties changed so little in 200 years.(2017) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2016Regrets, learning and wisdom In: Papers.
[Full Text][Citation analysis]
paper0
2016Regrets, learning and wisdom.(2016) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2018Statistically validated lead-lag networks and inventory prediction in the foreign exchange market In: Papers.
[Full Text][Citation analysis]
paper6
2018Statistically validated leadlag networks and inventory prediction in the foreign exchange market.(2018) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2017Wisdom of the institutional crowd In: Papers.
[Full Text][Citation analysis]
paper0
2017Wisdom of the institutional crowd.(2017) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2017Testing the causality of Hawkes processes with time reversal In: Papers.
[Full Text][Citation analysis]
paper0
2018Testing the causality of Hawkes processes with time reversal.(2018) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2018Dynamical regularities of US equities opening and closing auctions In: Papers.
[Full Text][Citation analysis]
paper0
2019Dynamical regularities of US equities opening and closing auctions.(2019) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2018Large large-trader activity weakens the long memory of limit order markets In: Papers.
[Full Text][Citation analysis]
paper0
2019Large large-trader activity weakens the long memory of limit order markets.(2019) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
2018Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions In: Papers.
[Full Text][Citation analysis]
paper0
2019Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions.(2019) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
2020The market nanostructure origin of asset price time reversal asymmetry In: Papers.
[Full Text][Citation analysis]
paper2
2018The market nanostructure origin of asset price time reversal asymmetry.(2018) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2021The market nanostructure origin of asset price time reversal asymmetry.(2021) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
article
2021Deep Prediction of Investor Interest: a Supervised Clustering Approach In: Papers.
[Full Text][Citation analysis]
paper0
2021Deep Prediction Of Investor Interest: a Supervised Clustering Approach.(2021) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2020Nonparametric sign prediction of high-dimensional correlation matrix coefficients In: Papers.
[Full Text][Citation analysis]
paper0
2019Nonparametric sign prediction of high-dimensional correlation matrix coefficients.(2019) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2020Covariance matrix filtering with bootstrapped hierarchies In: Papers.
[Full Text][Citation analysis]
paper3
2020Covariance matrix filtering with bootstrapped hierarchies.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2021Covariance matrix filtering with bootstrapped hierarchies.(2021) In: PLOS ONE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
2020Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning In: Papers.
[Full Text][Citation analysis]
paper1
2020Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning.(2020) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
2021Financial factors selection with knockoffs: fund replication, explanatory and prediction networks In: Papers.
[Full Text][Citation analysis]
paper0
2021Financial factors selection with knockoffs: Fund replication, explanatory and prediction networks.(2021) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2021Financial factors selection with knockoffs: fund replication, explanatory and prediction networks.(2021) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
2022Cleaning the covariance matrix of strongly nonstationary systems with time-independent eigenvalues In: Papers.
[Full Text][Citation analysis]
paper1
2021Cleaning the covariance matrix of strongly nonstationary systems with time-independent eigenvalues.(2021) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
2022Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimisation In: Papers.
[Full Text][Citation analysis]
paper0
2022Cross-sectional explanatory power of ESG features In: Papers.
[Full Text][Citation analysis]
paper0
2022Statistical inference of lead-lag at various timescales between asynchronous time series from p-values of transfer entropy In: Papers.
[Full Text][Citation analysis]
paper2
2000Comment on: Thermal model for Adaptive Competition in a Market In: Papers.
[Full Text][Citation analysis]
paper1
2000Trading behavior and excess volatility in toy markets In: Papers.
[Full Text][Citation analysis]
paper7
2001TRADING BEHAVIOR AND EXCESS VOLATILITY IN TOY MARKETS.(2001) In: Advances in Complex Systems (ACS).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
article
2000From Minority Games to real markets In: Papers.
[Full Text][Citation analysis]
paper36
2001From Minority Games to real markets.(2001) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36
article
2001Stylized facts of financial markets and market crashes in Minority Games In: Papers.
[Full Text][Citation analysis]
paper49
2001Stylized facts of financial markets and market crashes in Minority Games.(2001) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49
article
2001Minority Games and stylized facts In: Papers.
[Full Text][Citation analysis]
paper48
2001Minority games and stylized facts.(2001) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48
article
2001Analyzing and modelling 1+1d markets In: Papers.
[Full Text][Citation analysis]
paper44
2001Analyzing and modeling 1+1d markets.(2001) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 44
article
2002Exact Hurst exponent and crossover behavior in a limit order market model In: Papers.
[Full Text][Citation analysis]
paper5
2002Exact Hurst exponent and crossover behavior in a limit order market model.(2002) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2002Criticality and finite size effects in a simple realistic model of stock market In: Papers.
[Full Text][Citation analysis]
paper10
2002Limit order market analysis and modelling: on an universal cause for over-diffusive prices In: Papers.
[Full Text][Citation analysis]
paper4
2003Limit order market analysis and modelling: on a universal cause for over-diffusive prices.(2003) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
article
2004Price return auto-correlation and predictability in agent-based models of financial markets In: Papers.
[Full Text][Citation analysis]
paper5
2005Price return autocorrelation and predictability in agent-based models of financial markets.(2005) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
1999Modeling Market Mechanism with Minority Game In: Papers.
[Full Text][Citation analysis]
paper38
2000Modeling market mechanism with minority game.(2000) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 38
article
2006News and price returns from threshold behaviour and vice-versa: exact solution of a simple agent-based market model In: Papers.
[Full Text][Citation analysis]
paper0
2006Optimal approximations of power-laws with exponentials In: Papers.
[Full Text][Citation analysis]
paper1
2006The demise of constant price impact functions and single-time step models of speculation In: Papers.
[Full Text][Citation analysis]
paper1
2007The demise of constant price impact functions and single-time step models of speculation.(2007) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2010The tick-by-tick dynamical consistency of price impact in limit order books In: Papers.
[Full Text][Citation analysis]
paper0
2011The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books.(2011) In: Applied Mathematical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2008Inter-pattern speculation: Beyond minority, majority and $-games In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article14
2005Inter-pattern speculation: beyond minority, majority and $-games.(2005) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
1997Emergence of cooperation and organization in an evolutionary game In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
article207
1998On the minority game: Analytical and numerical studies In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
article74
2000Exact solution of a modified El Farols bar problem: Efficiency and the role of market impact In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
article9
2004Shedding light on El Farol In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
article8
2004Shedding light on El Farol.(2004) In: Game Theory and Information.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2004Stylized facts in minority games with memory: a new challenge In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
article6
2004Minority mechanisms in models of agents learning collectively a resource level In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
article0
2006Minority games with heterogeneous timescales In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
article4
2012Baldovin-Stella stochastic volatility process and Wiener process mixtures In: Post-Print.
[Full Text][Citation analysis]
paper5
2012Baldovin-Stella stochastic volatility process and Wiener process mixtures.(2012) In: The European Physical Journal B: Condensed Matter and Complex Systems.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2019On the origins of extreme wealth inequality in the Talent vs Luck Model In: Working Papers.
[Citation analysis]
paper0
2021The Oracle estimator is suboptimal for global minimum variance portfolio optimisation In: Working Papers.
[Citation analysis]
paper0
2006Coolen, A.C.C.: The Mathematical Theory of Minority Games. Statistical Mechanics of Interacting Agents In: Journal of Economics.
[Full Text][Citation analysis]
article2
2004Minority Games: Interacting agents in financial markets In: OUP Catalogue.
[Citation analysis]
book57
2013Minority Games: Interacting agents in financial markets.(2013) In: OUP Catalogue.
[Citation analysis]
This paper has another version. Agregated cites: 57
book
2008The ups and downs of the renormalization group applied to financial time series In: MPRA Paper.
[Full Text][Citation analysis]
paper1
2009Structure-preserving desynchronization of minority games In: The European Physical Journal B: Condensed Matter and Complex Systems.
[Full Text][Citation analysis]
article1
2018Realistic simulation of financial markets: analyzing market behaviors by the third mode of science In: Journal of Economic Interaction and Coordination.
[Full Text][Citation analysis]
article0
2021Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors In: Journal of Economic Interaction and Coordination.
[Full Text][Citation analysis]
article0
2003Non-constant rates and over-diffusive prices in a simple model of limit order markets In: Quantitative Finance.
[Full Text][Citation analysis]
article12
2007Optimal approximations of power laws with exponentials: application to volatility models with long memory In: Quantitative Finance.
[Full Text][Citation analysis]
article3
2020THE ORIGINS OF EXTREME WEALTH INEQUALITY IN THE TALENT VERSUS LUCK MODEL In: Advances in Complex Systems (ACS).
[Full Text][Citation analysis]
article0
2000PHASE TRANSITION IN A TOY MARKET In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article0
2008Taking a shower in Youth Hostels: risks and delights of heterogeneity In: Bonn Econ Discussion Papers.
[Full Text][Citation analysis]
paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 1st 2022. Contact: CitEc Team