Damien Challet : Citation Profile

14

H index

19

i10 index

968

Citations

RESEARCH PRODUCTION:

47

Articles

110

Papers

2

Books

1

Chapters

RESEARCH ACTIVITY:

   28 years (1997 - 2025). See details.
   Cites by year: 34
   Journals where Damien Challet has often published
   Relations with other researchers
   Recent citing documents: 61.    Total self citations: 47 (4.63 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch419
   Updated: 2026-05-02    RAS profile: 2026-01-14    
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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 (24)

Kets, Willemien (20)

Zhou, Wei-Xing (18)

Farmer, J. (15)

Sonnemans, Joep (14)

Mantegna, Rosario (14)

Ghosh, Diptesh (13)

Devetag, Giovanna (13)

Valente, Marco (12)

Fagiolo, Giorgio (12)

Savona, Roberto (10)

Cites to:

Farmer, J. (29)

Mantegna, Rosario (23)

Hommes, Cars (10)

Potters, Marc (9)

Fama, Eugene (7)

Odean, Terrance (7)

Guéant, Olivier (7)

Grinblatt, Mark (6)

Calvet, Laurent (6)

Zhou, Wei-Xing (6)

Kirman, Alan (6)

Main data

Where Damien Challet has published?

Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications16
Quantitative Finance10
The European Physical Journal B: Condensed Matter and Complex Systems4
Journal of Economic Interaction and Coordination2
Advances in Complex Systems (ACS)2
Applied Mathematical Finance2
Journal of Economic Behavior & Organization2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org61
Post-Print / HAL32
Working Papers / HAL12

Recent works citing Damien Challet (2026 and 2025)

YearTitle of citing document
2024Multi-Asset Bubbles Equilibrium Price Dynamics. (2024). Cordoni, Francesco. In: Papers. RePEc:arx:papers:2206.01468.

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2025Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Nutz, Marcel ; Zhao, Long ; Webster, Kevin. In: Papers. RePEc:arx:papers:2310.14144.

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2024Temporal distribution of clusters of investors and their application in prediction with expert advice. (2024). Kalnishkan, Yuri ; Wisniewski, Wojciech ; Lindsay, Sian. In: Papers. RePEc:arx:papers:2406.19403.

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2024Optimizing Performance: How Compact Models Match or Exceed GPTs Classification Capabilities through Fine-Tuning. (2024). Guez, Beatrice ; Saltiel, David ; Ohana, Jean-Jacques ; Benhamou, Eric ; Lefort, Baptiste. In: Papers. RePEc:arx:papers:2409.11408.

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2025A New Traders Game? -- Response Functions in a Historical Perspective. (2025). Schuhmann, Cedric ; Heckens, Anton J ; Kohler, Benjamin ; Guhr, Thomas. In: Papers. RePEc:arx:papers:2503.01629.

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2025Optimal Data Splitting for Holdout Cross-Validation in Large Covariance Matrix Estimation. (2025). Lamrani, Lamia ; Bongiorno, Christian ; Potters, Marc. In: Papers. RePEc:arx:papers:2503.15186.

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2025Agentic Workflows for Economic Research: Design and Implementation. (2025). Yi, Jiachen ; Wang, Zhongli ; Harting, Philipp ; Dawid, Herbert. In: Papers. RePEc:arx:papers:2504.09736.

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2026Beating the Correlation Breakdown: Robust Inference, Flexible Scenarios, and Stress Testing for Financial Portfolios. (2025). Opdyke, JD. In: Papers. RePEc:arx:papers:2504.15268.

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2025Evolution and determinants of firm-level systemic risk in local production networks. (2025). Di Clemente, Riccardo ; Cimini, Giulio ; Lengyel, Bal'Azs ; Mancini, Anna. In: Papers. RePEc:arx:papers:2506.21426.

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2025End-to-End Large Portfolio Optimization for Variance Minimization with Neural Networks through Covariance Cleaning. (2025). Mantegna, Rosario ; Manolakis, Efstratios ; Bongiorno, Christian. In: Papers. RePEc:arx:papers:2507.01918.

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2025FinMarBa: A Market-Informed Dataset for Financial Sentiment Classification. (2025). Lefort, Baptiste ; Etienne, Alban ; Setrouk, Ethan ; Ohana, Jean-Jacques ; Guez, Beatrice ; Benhamou, Eric. In: Papers. RePEc:arx:papers:2507.22932.

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2025Criminal Property Rights Suppress Violence in Urban Drug Markets: Theory and Evidence from Merseyside, U.K. (2025). Pin, Paolo ; Rozzi, Roberto ; Andrea, Paolo Campana. In: Papers. RePEc:arx:papers:2508.02561.

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2025Estimating Covariance for Global Minimum Variance Portfolio: A Decision-Focused Learning Approach. (2025). Lee, Yongjae ; Tae, Inwoo ; Kim, Juchan. In: Papers. RePEc:arx:papers:2508.10776.

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2025Bimodal Dynamics of the Artificial Limit Order Book Stock Exchange with Autonomous Traders. (2025). Steinbacher, Matej. In: Papers. RePEc:arx:papers:2508.17837.

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2025Cryptocurrencies and Interest Rates: Inferring Yield Curves in a Bondless Market. (2025). Bieber, S'Ebastien ; Bergault, Philippe ; Gu, Olivier ; Zhang, Wenkai. In: Papers. RePEc:arx:papers:2509.03964.

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2025Covariance-Aware Simplex Projection for Cardinality-Constrained Portfolio Optimization. (2025). Iliopoulos, Nikolaos. In: Papers. RePEc:arx:papers:2512.19986.

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2026Learning Market Making with Closing Auctions. (2026). Mastrolia, Thibaut ; Graf, Julius. In: Papers. RePEc:arx:papers:2601.17247.

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2026Hybrid Hidden Markov Model for Modeling Equity Excess Growth Rate Dynamics: A Discrete-State Approach with Jump-Diffusion. (2026). Varner, Jeffrey D ; Alswaidan, Abdulrahman. In: Papers. RePEc:arx:papers:2603.10202.

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2024Decomposing Systemic Risk: The Roles of Contagion and Common Exposures. (2024). Hipp, Ruben ; Halaj, Grzegorz. In: Staff Working Papers. RePEc:bca:bocawp:24-19.

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2024Decomposing systemic risk: the roles of contagion and common exposures. (2024). Hipp, Ruben ; Haaj, Grzegorz. In: Working Paper Series. RePEc:ecb:ecbwps:20242929.

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2024Pattern-detection in the global automotive industry: A manufacturer-supplier-product network analysis. (2024). Squartini, Tiziano ; Fessina, Massimiliano ; Cimini, Giulio ; Zaccaria, Andrea. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:181:y:2024:i:c:s0960077924001814.

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2025Emergent coordination without symmetry breaking in Minority Game via policy-based reinforcement learning. (2025). Xu, Wangfang ; Han, Miao ; Rao, Wenjia. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:198:y:2025:i:c:s0960077925005636.

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2026Dual reinforcement learning synergy in resource allocation: Emergence of momentum strategy. (2026). Zhang, Zhen-Na ; Deng, Sheng-Feng ; Chen, LI ; Zheng, Guo-Zhong ; Cai, Chao-Ran ; Li, Bin-Quan. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:202:y:2026:i:p1:s0960077925014547.

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2026Pattern production and community emergence in the minority game. (2026). Kantz, H ; Moya, Estvez D ; Estevez-Rams, E. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:202:y:2026:i:p2:s096007792501478x.

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2025Joint estimation of precision matrices for long-memory time series. (2025). Zhang, Qihu ; Park, Cheolwoo ; Chung, Jongik. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:212:y:2025:i:c:s0167947325001100.

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2025Multi-asset bubbles equilibrium price dynamics. (2025). Cordoni, Francesco. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002067.

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2024Cross validation based transfer learning for cross-sectional non-linear shrinkage: A data-driven approach in portfolio optimization. (2024). Morstedt, Torsten ; Neumann, Dirk ; Lutz, Bernhard. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:2:p:670-685.

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2024Social media information diffusion and excess stock returns co-movement. (2024). Chen, Zhang-Hangjian ; Wu, Wang-Long ; Li, Sai-Ping ; Bao, Kun ; Koedijk, Kees G. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005525.

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2025Enhancing high-dimensional dynamic conditional angular correlation model based on GARCH family models: Comparative performance analysis for portfolio optimization. (2025). Gao, Xuerui ; Sun, Zhangshuang ; Wang, Guoqiang ; Tao, Jiyuan ; Bai, Yanqin ; Luo, Kangyang. In: Finance Research Letters. RePEc:eee:finlet:v:75:y:2025:i:c:s154461232500073x.

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2025How does multinational enterprises’ digital transformation affect ESG performance? Empirical evidence based on Chinese A-share multinationals. (2025). Geng, Yunjiang ; He, Qiong ; Chen, Peng ; Yu, Kexiu. In: Finance Research Letters. RePEc:eee:finlet:v:86:y:2025:i:pg:s1544612325020021.

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2025Rise of NBFIs and the global structural change in the transmission of market shocks. (2025). Hogen, Yoshihiko ; Shinozaki, Yuji ; Kasai, Yoshiyasu. In: Journal of Financial Stability. RePEc:eee:finsta:v:79:y:2025:i:c:s1572308925000488.

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2025Decomposing systemic risk: The roles of contagion and common exposures. (2025). Hipp, Ruben ; Haaj, Grzegorz. In: Journal of Financial Stability. RePEc:eee:finsta:v:80:y:2025:i:c:s1572308925000804.

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2025Quantifying the information lost in optimal covariance matrix cleaning. (2025). Bongiorno, Christian ; Lamrani, Lamia. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:657:y:2025:i:c:s0378437124007349.

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2025Empirical properties of volume dynamics in the limit order book. (2025). Leyvraz, Francois ; Navarro, Roberto Mota ; Larralde, Hernn. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:658:y:2025:i:c:s037843712400743x.

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2025Modeling competition for space: Emergent inefficiency and inequality due to spatial self-organization among a group of crowd-avoiding agents. (2025). Sasidevan, V ; Mathew, Ann Mary. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:660:y:2025:i:c:s0378437125000123.

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2025Forecasting the unforecastable: An independent component analysis for majority game-like global cryptocurrencies. (2025). Sssmuth, Bernd ; Kirsten, Oliver. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:665:y:2025:i:c:s0378437125001244.

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2025The effects of dynamic peer pressure on the evolution of cooperation in complex networks. (2025). Ruan, Jing ; Ma, Lili ; Lv, Jingyu ; Li, Lin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:665:y:2025:i:c:s0378437125001414.

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2025Evolutionary analysis of a simple Minority Game: Coexistence, dominance, and paradoxical outcomes. (2025). Wardil, Lucas ; Fernandes, Guilherme. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:669:y:2025:i:c:s0378437125002444.

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2025A new traders’ game? — Empirical analysis of response functions in a historical perspective. (2025). Guhr, Thomas ; Schuhmann, Cedric ; Khler, Benjamin ; Heckens, Anton J. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:679:y:2025:i:c:s0378437125006338.

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2026Spin glass models and market volatility: A multiple threshold nonlinear autoregressive distributed lag approach. (2026). Georgescu, Irina ; Kinnunen, Jani. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:682:y:2026:i:c:s0378437125008118.

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2026The impact of peer incentives that integrate node similarity on the evolution of cooperation in complex networks. (2026). Su, Zhao ; Pang, Xingbo ; Lin, Peng ; Chen, Lin ; Ma, Lili ; Wang, Kai. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:682:y:2026:i:c:s0378437125008246.

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2025ESG performance and stability of New Quality Productivity Forces: From perspective of Chinas modernization construction. (2025). Chen, Jiebin ; Xue, Runhua. In: International Review of Economics & Finance. RePEc:eee:reveco:v:98:y:2025:i:c:s1059056025000747.

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2024Exploring the linkages between FinTech and ESG: A bibliometric perspective. (2024). Rania, Francesco ; Strano, Eugenia ; Trotta, Annarita. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531923003264.

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2025Is gold in the process of a bubble formation? New evidence from the ex-post global financial crisis period. (2025). Grobys, Klaus. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531924005208.

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2025Peer effects in bank liquidity hoarding and its impact on bank risk: Evidence from Chinese commercial banks. (2025). Ke, Konglin ; Rui, Haohao ; Tan, Dekai. In: Research in International Business and Finance. RePEc:eee:riibaf:v:80:y:2025:i:c:s0275531925004015.

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2025Cross−impact and price bubbles in hybrid financial markets. (2025). Giannetti, Caterina ; Cordoni, Francesco ; Chapkovski, Philipp ; Lillo, Fabrizio. In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:118:y:2025:i:c:s2214804325000643.

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2026The multivariate fractional Ornstein–Uhlenbeck process. (2026). Dugo, Ranieri ; Pigato, Paolo ; Giorgio, Giacomo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:192:y:2026:i:c:s0304414925002583.

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2025Quantitative Modeling of Speculative Bubbles, Crash Dynamics, and Critical Transitions in the Stock Market Using the Log-Periodic Power-Law Model. (2025). Singh, Avi ; Mahadeva, Rajesh ; Sarda, Varun ; Goyal, Amit Kumar. In: IJFS. RePEc:gam:jijfss:v:13:y:2025:i:4:p:195-:d:1773331.

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2024Predictive Resilience Modeling Using Statistical Regression Methods. (2024). Silva, Priscila ; Hotchkiss, Mindy ; Hidalgo, Mariana ; Dharmasena, Lasitha ; Fiondella, Lance ; Linkov, Igor. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:15:p:2380-:d:1446748.

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2024Mesoscale effects of trader learning behaviors in financial markets: A multi-agent reinforcement learning study. (2024). Gutkin, Boris ; Palminteri, Stefano ; Vrizzi, Stefano ; Lussange, Johann. In: Post-Print. RePEc:hal:journl:hal-04790290.

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2025Evolutionary and agent-based computational finance: The new paradigms for asset pricing. (2025). Pastushkov, A. In: Journal of the New Economic Association. RePEc:nea:journl:y:2025:i:66:p:196-222.

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2025An artificial market model for the forex market. (2025). Yokouchi, Daisuke ; Sasaki, Kimihiko. In: Palgrave Communications. RePEc:pal:palcom:v:12:y:2025:i:1:d:10.1057_s41599-025-04605-5.

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2024Mesoscale effects of trader learning behaviors in financial markets: A multi-agent reinforcement learning study. (2024). Lussange, Johann ; Palminteri, Stefano ; Vrizzi, Stefano ; Gutkin, Boris. In: PLOS ONE. RePEc:plo:pone00:0301141.

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2025Order of Play in Sequential Network Formation. (2025). San Román, Diego ; san Romn, Diego. In: MPRA Paper. RePEc:pra:mprapa:125309.

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2024The Multivariate Fractional Ornstein-Uhlenbeck Process. (2024). Pigato, Paolo ; Dugo, Ranieri ; Giorgio, Giacomo. In: CEIS Research Paper. RePEc:rtv:ceisrp:581.

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2024Multivariate Rough Volatility. (2024). Pigato, Paolo ; Dugo, Ranieri ; Giorgio, Giacomo. In: CEIS Research Paper. RePEc:rtv:ceisrp:589.

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2025Model-based vs. agnostic methods for the prediction of time-varying covariance matrices. (2025). Xidonas, Panos ; Poignard, Benjamin ; Fermanian, Jean-David. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06238-4.

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2025An agent-based model to foster citizens’ sustainable behavior in the Italian city of Siena. (2025). Vitanza, Eleonora ; Socci, Vittoria ; Mocenni, Chiara. In: The European Physical Journal B: Condensed Matter and Complex Systems. RePEc:spr:eurphb:v:98:y:2025:i:4:d:10.1140_epjb_s10051-025-00910-9.

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2024Google search volume index and investor attention in stock market: a systematic review. (2024). Arteaga-Sanchez, Rocio ; Gonzalvez-Gallego, Nicolas ; Ayala, Maria Jose. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00606-y.

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2025Studying economic complexity with agent-based models: advances, challenges and future perspectives. (2025). Chudziak, Szymon. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:20:y:2025:i:2:d:10.1007_s11403-024-00428-w.

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2026Complementarity and substitutability of investment strategies. (2026). Schenk-Hoppé, Klaus ; Hens, Thorsten ; Doskov, Nikolay. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:36:y:2026:i:1:d:10.1007_s00191-025-00922-9.

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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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This paper has nother version. Agregated cites: 0		article
2009The universal shape of economic recession and recovery after a shock In: Papers.
[Full Text][Citation analysis]		paper7
2009The Universal Shape of Economic Recession and Recovery after a Shock.(2009) In: Economics Discussion Papers.
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This paper has nother version. Agregated cites: 7		paper
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: 7		article
2008Emergence of product differentiation from consumer heterogeneity and asymmetric information In: Papers.
[Full Text][Citation analysis]		paper4
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.
[Full Text][Citation analysis]		paper5
2010Prediction accuracy and sloppiness of log-periodic functions In: Papers.
[Full Text][Citation analysis]		paper20
2013Prediction accuracy and sloppiness of log-periodic functions.(2013) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 20		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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This paper has nother version. Agregated cites: 30		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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This paper has nother version. Agregated cites: 18		paper
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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This paper has nother version. Agregated cites: 6		paper
2015Sudden trust collapse in networked societies.(2015) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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This paper has nother version. Agregated cites: 6		article
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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This paper has nother version. Agregated cites: 11		article
2017Do investors trade too much? A laboratory experiment.(2017) In: Post-Print.
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This paper has nother version. Agregated cites: 11		paper
2016Statistically validated network of portfolio overlaps and systemic risk In: Papers.
[Full Text][Citation analysis]		paper38
2016Statistically validated network of portfolio overlaps and systemic risk.(2016) In: Post-Print.
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This paper has nother version. Agregated cites: 38		paper
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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This paper has nother version. Agregated cites: 7		paper
2016Regrets, learning and wisdom In: Papers.
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2016Regrets, learning and wisdom.(2016) In: Post-Print.
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This paper has nother version. Agregated cites: 0		paper
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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This paper has nother version. Agregated cites: 0		paper
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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This paper has nother version. Agregated cites: 2		paper
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: Post-Print.
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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.
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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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2021Nonparametric sign prediction of high-dimensional correlation matrix coefficients.(2021) In: Post-Print.
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2020Covariance matrix filtering with bootstrapped hierarchies In: Papers.
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2021Covariance matrix filtering with bootstrapped hierarchies.(2021) In: Post-Print.
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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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2021Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning.(2021) In: Post-Print.
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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: Post-Print.
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2023Cleaning the covariance matrix of strongly nonstationary systems with time-independent eigenvalues In: 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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2023Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization.(2023) In: Finance Research Letters.
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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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2023Dissecting the Explanatory Power of ESG Features on Equity Returns by Sector, Capitalization, and Year with Interpretable Machine Learning.(2023) In: JRFM.
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2023Dissecting the explanatory power of ESG features on equity returns by sector, capitalization, and year with interpretable machine learning.(2023) In: Post-Print.
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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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2024Price impact in equity auctions: zero, then linear.(2024) In: Post-Print.
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2024When is cross impact relevant? In: Papers.
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2024When is cross impact relevant?.(2024) In: Post-Print.
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2024When is cross impact relevant?.(2024) In: Quantitative Finance.
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2023Recurrent Neural Networks with more flexible memory: better predictions than rough volatility In: Papers.
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2023Covariance matrix filtering and portfolio optimisation: the Average Oracle vs Non-Linear Shrinkage and all the variants of DCC-NLS In: Papers.
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2024Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS.(2024) In: Quantitative Finance.
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2024Can ChatGPT Compute Trustworthy Sentiment Scores from Bloomberg Market Wraps? In: Papers.
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2024Equity auction dynamics: latent liquidity models with activity acceleration In: Papers.
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2024Equity auction dynamics: latent liquidity models with activity acceleration.(2024) In: Post-Print.
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2024Equity auction dynamics: latent liquidity models with activity acceleration.(2024) In: Quantitative Finance.
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2025Consistent time travel for realistic interactions with historical data: reinforcement learning for market making In: Papers.
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2024Stylized facts in money markets: an empirical analysis of the eurozone data In: Papers.
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2025Stylized facts in money markets: an empirical analysis of the eurozone data.(2025) In: Post-Print.
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2024A minimal model of money creation under regulatory constraints In: Papers.
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2025Optimal risk-aware interest rates for decentralized lending protocols In: Papers.
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2025Learning the Spoofability of Limit Order Books With Interpretable Probabilistic Neural Networks In: Papers.
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2025Noise-proofing Universal Portfolio Shrinkage In: Papers.
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2026Optimal execution on Uniswap v2/v3 under transient price impact 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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2025A minimal model of money creation within secured interbank markets In: Journal of Economic Behavior & Organization.
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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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2024Multi-Timescale Recurrent Neural Networks Beat Rough Volatility for Intraday Volatility Prediction In: Risks.
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2024Multi-Timescale Recurrent Neural Networks Beat Rough Volatility for Intraday Volatility Prediction.(2024) In: Post-Print.
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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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2020On the origins of extreme wealth inequality in the Talent vs Luck Model In: Post-Print.
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2023Filtering time-dependent covariance matrices using time-independent eigenvalues In: Post-Print.
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2023The Oracle estimator is suboptimal for global minimum variance portfolio optimisation In: Post-Print.
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2020Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors In: Post-Print.
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2021Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors.(2021) In: Journal of Economic Interaction and Coordination.
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2019Large large-trader activity weakens the long memory of limit order markets In: Working Papers.
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2019On the origins of extreme wealth inequality in the Talent vs Luck Model In: Working Papers.
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2019Nonparametric sign prediction of high-dimensional correlation matrix coefficients In: Working Papers.
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2020Covariance matrix filtering with bootstrapped hierarchies In: Working Papers.
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2020Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning In: Working Papers.
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2021Financial factors selection with knockoffs: fund replication, explanatory and prediction networks In: Working Papers.
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2021Cleaning the covariance matrix of strongly nonstationary systems with time-independent eigenvalues 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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2023Price impact in equity auctions: zero, then linear 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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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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2004Competition between Adaptive Agents: Learning and Collective Efficiency In: Springer Books.
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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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