Damien Challet : Citation Profile


Are you Damien Challet?

14

H index

16

i10 index

851

Citations

RESEARCH PRODUCTION:

40

Articles

81

Papers

2

Books

RESEARCH ACTIVITY:

   26 years (1997 - 2023). See details.
   Cites by year: 32
   Journals where Damien Challet has often published
   Relations with other researchers
   Recent citing documents: 29.    Total self citations: 31 (3.51 %)

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   Permalink: http://citec.repec.org/pch419
   Updated: 2024-01-16    RAS profile: 2023-01-16    
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Relations with other researchers


Works with:

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

Is cited by:

Tuinstra, Jan (23)

Kets, Willemien (20)

Zhou, Wei-Xing (18)

Farmer, J. (15)

Sonnemans, Joep (14)

Ghosh, Diptesh (13)

Devetag, Giovanna (13)

Valente, Marco (12)

Fagiolo, Giorgio (12)

Savona, Roberto (10)

Iori, Giulia (9)

Cites to:

Farmer, J. (24)

Mantegna, Rosario (20)

Hommes, Cars (10)

Potters, Marc (8)

Fama, Eugene (8)

Kirman, Alan (7)

Odean, Terrance (7)

Noussair, Charles (6)

Calvet, Laurent (6)

Zhou, Wei-Xing (6)

Grinblatt, Mark (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
Journal of Economic Interaction and Coordination2
Applied Mathematical Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org49
Post-Print / HAL16
Working Papers / HAL11

Recent works citing Damien Challet (2024 and 2023)


YearTitle of citing document
2023Bounded 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.

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2023Multi-Asset Bubbles Equilibrium Price Dynamics. (2022). Cordoni, Francesco. In: Papers. RePEc:arx:papers:2206.01468.

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2023Empirical analysis in limit order book modeling for Nikkei 225 Stocks with Cox-type intensities. (2023). Chomei, Shunya. In: Papers. RePEc:arx:papers:2302.01668.

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2023A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208.

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2023Many learning agents interacting with an agent-based market model. (2023). Gebbie, Tim ; Paskaramoothy, Andrew ; Dicks, Matthew. In: Papers. RePEc:arx:papers:2303.07393.

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2023Why Topological Data Analysis Detects Financial Bubbles?. (2023). Nateghi, Vahid ; Manzi, Matteo ; Gidea, Marian ; Akingbade, Samuel W. In: Papers. RePEc:arx:papers:2304.06877.

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2023Complexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis. (2023). Garcin, Matthieu. In: Papers. RePEc:arx:papers:2305.13123.

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2023Application of spin glass ideas in social sciences, economics and finance. (2023). Nadal, Jean-Pierre ; Marsili, Matteo ; Bouchaud, Jean-Philippe. In: Papers. RePEc:arx:papers:2306.16165.

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2023Social and individual learning in the Minority Game. (2023). Zhou, Zuojun ; Zhuang, Fuwei ; Morsky, Bryce. In: Papers. RePEc:arx:papers:2307.11846.

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2023Recurrent Neural Networks with more flexible memory: better predictions than rough volatility. (2023). Ragel, Vincent ; Challet, Damien. In: Papers. RePEc:arx:papers:2308.08550.

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2023News-driven Expectations and Volatility Clustering. (2023). Inoua, Sabiou. In: Papers. RePEc:arx:papers:2309.04876.

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2023Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Zhao, Long ; Webster, Kevin ; Nutz, Marcel. In: Papers. RePEc:arx:papers:2310.14144.

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2023The evaluation of the effects of ESG scores on financial markets. (2023). Costa, Michele. In: Working Papers. RePEc:bol:bodewp:wp1189.

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2023Hurst exponent dynamics of S&P 500 returns: Implications for market efficiency, long memory, multifractality and financial crises predictability by application of a nonlinear dynamics analysis framewo. (2023). Vogl, Markus. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:166:y:2023:i:c:s0960077922010633.

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2023Fast-response and low-tolerance promotes cooperation in cascading system collapse. (2023). Shi, Lei ; Du, Chunpeng ; He, Zhixue ; Tan, Huaiyu. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:166:y:2023:i:c:s0960077922010955.

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2023From dusk till dawn (and vice versa): Overnight-versus-daytime reversals and feedback trading. (2023). Karaa, Rabaa ; Kallinterakis, Vasileios. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922003933.

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2023Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization. (2023). Challet, Damien ; Bongiorno, Christian. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005608.

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2023The effect of quantity and quality of information in strategy tournaments. (2023). Tuinstra, Jan ; Sonnemans, Joep ; Gietl, Daniel ; Linde, Jona. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:211:y:2023:i:c:p:305-323.

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2023Market failure in a new model of platform design with partially informed consumers. (2023). Fenoaltea, Enrico Maria ; Gao, Fujuan ; Zhang, Yi-Cheng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:619:y:2023:i:c:s0378437123003035.

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2023Evolutionary Game Analysis of Resilient Community Construction Driven by Government Regulation and Market. (2023). Deng, Guoqu ; Wang, Mengtian ; Zhang, Panke. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:4:p:3251-:d:1064361.

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2023Greenhouse Gases Emissions: Estimating Corporate Non-Reported Emissions Using Interpretable Machine Learning. (2023). Soupe, Franois ; Carlier, Laurent ; Heurtebize, Thibaut ; Assael, Jeremi. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:4:p:3391-:d:1066568.

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2023Greenhouse gas emissions: estimating corporate non-reported emissions using interpretable machine learning. (2023). Soupe, Franois ; Carlier, Laurent ; Heurtebize, Thibaut ; Assael, Jeremi. In: Post-Print. RePEc:hal:journl:hal-03905325.

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2023Application of spin glass ideas in social sciences, economics and finance. (2023). Nadal, Jean-Pierre ; Marsili, Matteo ; Bouchaud, Jean Philippe. In: Post-Print. RePEc:hal:journl:hal-04145594.

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2023Greenhouse gases emissions: estimating corporate non-reported emissions using interpretable machine learning. (2022). Soupe, Franois ; Carlier, Laurent ; Heurtebize, Thibaut ; Assael, Jeremi. In: Working Papers. RePEc:hal:wpaper:hal-03905325.

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2023Price impact in equity auctions: zero, then linear. (2023). Toke, Ioane Muni ; Challet, Damien ; Salek, Mohammed. In: Working Papers. RePEc:hal:wpaper:hal-03938660.

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2023Covariance matrix estimation for robust portfolio allocation. (2023). Gatignol, Valentin ; de Carvalho, Nathan ; Bitar, Ahmad W. In: Working Papers. RePEc:hal:wpaper:hal-04046454.

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2023Complexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis. (2023). Garcin, Matthieu. In: Working Papers. RePEc:hal:wpaper:hal-04102815.

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2023Stock Price Formation: Precepts from a Multi-Agent Reinforcement Learning Model. (2023). Gutkin, Boris ; Palminteri, Stefano ; Bourgeois-Gironde, Sacha ; Vrizzi, Stefano ; Lussange, Johann. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:4:d:10.1007_s10614-022-10249-3.

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2023Microfounding GARCH models and beyond: a Kyle-inspired model with adaptive agents. (2023). Benzaquen, Michael ; Toth, Bence ; Mastromatteo, Iacopo ; Vodret, Michele. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:18:y:2023:i:3:d:10.1007_s11403-023-00379-8.

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Works by Damien Challet:


YearTitleTypeCited
2007Feedback and efficiency in limit order markets In: Papers.
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2008Feedback and efficiency in limit order markets.(2008) In: Physica A: Statistical Mechanics and its Applications.
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article
2009The universal shape of economic recession and recovery after a shock In: Papers.
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2009The Universal Shape of Economic Recession and Recovery after a Shock.(2009) In: Economics Discussion Papers.
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2009The universal shape of economic recession and recovery after a shock.(2009) In: Economics - The Open-Access, Open-Assessment E-Journal (2007-2020).
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This paper has nother version. Agregated cites: 6
article
2008Emergence of product differentiation from consumer heterogeneity and asymmetric information In: Papers.
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2008Emergence of product differentiation from consumer heterogeneity and asymmetric information.(2008) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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This paper has nother version. Agregated cites: 4
article
2009The Ups and Downs of Modeling Financial Time Series with Wiener Process Mixtures In: Papers.
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2010Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior In: Papers.
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2010Prediction accuracy and sloppiness of log-periodic functions In: Papers.
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paper18
2013Prediction accuracy and sloppiness of log-periodic functions.(2013) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 18
article
2014Statistical Mechanics of Competitive Resource Allocation using Agent-based Models In: Papers.
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2015Statistical mechanics of competitive resource allocation using agent-based models.(2015) In: Post-Print.
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paper
2014Predicting financial markets with Google Trends and not so random keywords In: Papers.
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2013Predicting financial markets with Google Trends and not so random keywords.(2013) In: Working Papers.
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2014Do Google Trend data contain more predictability than price returns? In: Papers.
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2015Do Google Trend data contain more predictability than price returns?.(2015) In: Post-Print.
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2015The limits of statistical significance of Hawkes processes fitted to financial data In: Papers.
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2016The limits of statistical significance of Hawkes processes fitted to financial data.(2016) In: Post-Print.
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2016The limits of statistical significance of Hawkes processes fitted to financial data.(2016) In: Quantitative Finance.
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2015Sudden Trust Collapse in Networked Societies In: Papers.
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2015Sudden trust collapse in networked societies.(2015) In: Post-Print.
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2015Sudden trust collapse in networked societies.(2015) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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2015One- and two-sample nonparametric tests for the signal-to-noise ratio based on record statistics In: Papers.
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2017Sharper asset ranking from total drawdown durations In: Papers.
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2017Sharper asset ranking from total drawdown durations.(2017) In: Post-Print.
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2017Sharper asset ranking from total drawdown durations.(2017) In: Applied Mathematical Finance.
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2015Do investors trade too much? A laboratory experiment In: Papers.
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2017Do investors trade too much? A laboratory experiment.(2017) In: Journal of Economic Behavior & Organization.
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2017Do investors trade too much? A laboratory experiment.(2017) In: Post-Print.
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2016Statistically validated network of portfolio overlaps and systemic risk In: Papers.
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2016Statistically validated network of portfolio overlaps and systemic risk.(2016) In: Post-Print.
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2016Why have asset price properties changed so little in 200 years In: Papers.
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2017Why have asset price properties changed so little in 200 years.(2017) In: Post-Print.
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2016Regrets, learning and wisdom In: Papers.
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2016Regrets, learning and wisdom.(2016) In: Post-Print.
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2018Statistically validated lead-lag networks and inventory prediction in the foreign exchange market In: Papers.
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2018Statistically validated leadlag networks and inventory prediction in the foreign exchange market.(2018) In: Post-Print.
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2017Wisdom of the institutional crowd In: Papers.
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2017Wisdom of the institutional crowd.(2017) In: Working Papers.
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2017Testing the causality of Hawkes processes with time reversal In: Papers.
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2018Testing the causality of Hawkes processes with time reversal.(2018) In: Post-Print.
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2018Dynamical regularities of US equities opening and closing auctions In: Papers.
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2018Dynamical regularities of US equities opening and closing auctions.(2018) In: Post-Print.
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2018Large large-trader activity weakens the long memory of limit order markets In: Papers.
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2019Large large-trader activity weakens the long memory of limit order markets.(2019) In: Working Papers.
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2018Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions In: Papers.
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2019Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions.(2019) In: Post-Print.
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2020The market nanostructure origin of asset price time reversal asymmetry In: Papers.
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2018The market nanostructure origin of asset price time reversal asymmetry.(2018) In: Post-Print.
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2021The market nanostructure origin of asset price time reversal asymmetry.(2021) In: Quantitative Finance.
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2021Deep Prediction of Investor Interest: a Supervised Clustering Approach In: Papers.
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2021Deep Prediction Of Investor Interest: a Supervised Clustering Approach.(2021) In: Post-Print.
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2020Nonparametric sign prediction of high-dimensional correlation matrix coefficients In: Papers.
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2019Nonparametric sign prediction of high-dimensional correlation matrix coefficients.(2019) In: Working Papers.
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2020Covariance matrix filtering with bootstrapped hierarchies In: Papers.
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2020Covariance matrix filtering with bootstrapped hierarchies.(2020) In: Working Papers.
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2021Covariance matrix filtering with bootstrapped hierarchies.(2021) In: PLOS ONE.
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2023Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning In: Papers.
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2020Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning.(2020) In: Working Papers.
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2022Reactive global minimum variance portfolios with k-BAHC covariance cleaning.(2022) In: The European Journal of Finance.
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2021Financial factors selection with knockoffs: fund replication, explanatory and prediction networks In: Papers.
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2021Financial factors selection with knockoffs: Fund replication, explanatory and prediction networks.(2021) In: Physica A: Statistical Mechanics and its Applications.
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2021Financial factors selection with knockoffs: fund replication, explanatory and prediction networks.(2021) In: Working Papers.
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2023Cleaning the covariance matrix of strongly nonstationary systems with time-independent eigenvalues In: Papers.
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2021Cleaning the covariance matrix of strongly nonstationary systems with time-independent eigenvalues.(2021) In: Working Papers.
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2022Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimisation In: Papers.
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2023Dissecting the explanatory power of ESG features on equity returns by sector, capitalization, and year with interpretable machine learning In: Papers.
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2022Statistical inference of lead-lag at various timescales between asynchronous time series from p-values of transfer entropy In: Papers.
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2023Price impact in equity auctions: zero, then linear In: Papers.
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2000Comment on: Thermal model for Adaptive Competition in a Market In: Papers.
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2000Trading behavior and excess volatility in toy markets In: Papers.
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2001TRADING BEHAVIOR AND EXCESS VOLATILITY IN TOY MARKETS.(2001) In: Advances in Complex Systems (ACS).
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2000From Minority Games to real markets In: Papers.
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2001From Minority Games to real markets.(2001) In: Quantitative Finance.
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2001Stylized facts of financial markets and market crashes in Minority Games In: Papers.
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2001Stylized facts of financial markets and market crashes in Minority Games.(2001) In: Physica A: Statistical Mechanics and its Applications.
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2001Minority Games and stylized facts In: Papers.
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2001Minority games and stylized facts.(2001) In: Physica A: Statistical Mechanics and its Applications.
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2001Analyzing and modelling 1+1d markets In: Papers.
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2001Analyzing and modeling 1+1d markets.(2001) In: Physica A: Statistical Mechanics and its Applications.
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2002Exact Hurst exponent and crossover behavior in a limit order market model In: Papers.
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2002Exact Hurst exponent and crossover behavior in a limit order market model.(2002) In: Physica A: Statistical Mechanics and its Applications.
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2002Criticality and finite size effects in a simple realistic model of stock market In: Papers.
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2002Limit order market analysis and modelling: on an universal cause for over-diffusive prices In: Papers.
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2003Limit order market analysis and modelling: on a universal cause for over-diffusive prices.(2003) In: Physica A: Statistical Mechanics and its Applications.
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2004Price return auto-correlation and predictability in agent-based models of financial markets In: Papers.
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2005Price return autocorrelation and predictability in agent-based models of financial markets.(2005) In: Quantitative Finance.
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1999Modeling Market Mechanism with Minority Game In: Papers.
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2000Modeling market mechanism with minority game.(2000) In: Physica A: Statistical Mechanics and its Applications.
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2006News and price returns from threshold behaviour and vice-versa: exact solution of a simple agent-based market model In: Papers.
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2006Optimal approximations of power-laws with exponentials In: Papers.
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2006The demise of constant price impact functions and single-time step models of speculation In: Papers.
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2007The demise of constant price impact functions and single-time step models of speculation.(2007) In: Physica A: Statistical Mechanics and its Applications.
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2010The tick-by-tick dynamical consistency of price impact in limit order books In: Papers.
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2011The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books.(2011) In: Applied Mathematical Finance.
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2008Inter-pattern speculation: Beyond minority, majority and $-games In: Journal of Economic Dynamics and Control.
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2005Inter-pattern speculation: beyond minority, majority and $-games.(2005) In: Finance.
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1997Emergence of cooperation and organization in an evolutionary game In: Physica A: Statistical Mechanics and its Applications.
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1998On the minority game: Analytical and numerical studies In: Physica A: Statistical Mechanics and its Applications.
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2000Exact solution of a modified El Farols bar problem: Efficiency and the role of market impact In: Physica A: Statistical Mechanics and its Applications.
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2004Shedding light on El Farol In: Physica A: Statistical Mechanics and its Applications.
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2004Shedding light on El Farol.(2004) In: Game Theory and Information.
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2004Stylized facts in minority games with memory: a new challenge In: Physica A: Statistical Mechanics and its Applications.
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2004Minority mechanisms in models of agents learning collectively a resource level In: Physica A: Statistical Mechanics and its Applications.
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2006Minority games with heterogeneous timescales In: Physica A: Statistical Mechanics and its Applications.
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2012Baldovin-Stella stochastic volatility process and Wiener process mixtures In: Post-Print.
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2012Baldovin-Stella stochastic volatility process and Wiener process mixtures.(2012) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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2019On the origins of extreme wealth inequality in the Talent vs Luck Model In: Working Papers.
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2021The Oracle estimator is suboptimal for global minimum variance portfolio optimisation In: Working Papers.
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2022Dissecting the explanatory power of ESG features on equity returns by sector, capitalization, and year with interpretable machine learning In: Working Papers.
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2006Coolen, A.C.C.: The Mathematical Theory of Minority Games. Statistical Mechanics of Interacting Agents In: Journal of Economics.
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2004Minority Games: Interacting agents in financial markets In: OUP Catalogue.
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2013Minority Games: Interacting agents in financial markets.(2013) In: OUP Catalogue.
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book
2008The ups and downs of the renormalization group applied to financial time series In: MPRA Paper.
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2009Structure-preserving desynchronization of minority games In: The European Physical Journal B: Condensed Matter and Complex Systems.
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2018Realistic simulation of financial markets: analyzing market behaviors by the third mode of science In: Journal of Economic Interaction and Coordination.
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2021Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors In: Journal of Economic Interaction and Coordination.
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2003Non-constant rates and over-diffusive prices in a simple model of limit order markets In: Quantitative Finance.
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2007Optimal approximations of power laws with exponentials: application to volatility models with long memory In: Quantitative Finance.
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2020THE ORIGINS OF EXTREME WEALTH INEQUALITY IN THE TALENT VERSUS LUCK MODEL In: Advances in Complex Systems (ACS).
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2000PHASE TRANSITION IN A TOY MARKET In: International Journal of Theoretical and Applied Finance (IJTAF).
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2008Taking a shower in Youth Hostels: risks and delights of heterogeneity In: Bonn Econ Discussion Papers.
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