14
H index
17
i10 index
880
Citations
Damien Challet : Citation Profile
| RESEARCH PRODUCTION: 42 Articles 97 Papers 2 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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27 years (1997 - 2024). 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:
| Cites to:
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Main data
Where Damien Challet has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 54 |
| Post-Print / HAL | 26 |
| Working Papers / HAL | 12 |
Recent works citing Damien Challet (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Bounded 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 |
| 2024 | Multi-Asset Bubbles Equilibrium Price Dynamics. (2022). Cordoni, Francesco. In: Papers. RePEc:arx:papers:2206.01468. Full description at Econpapers || Download paper |
| 2023 | Empirical analysis in limit order book modeling for Nikkei 225 Stocks with Cox-type intensities. (2023). Chomei, Shunya. In: Papers. RePEc:arx:papers:2302.01668. Full description at Econpapers || Download paper |
| 2023 | A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208. Full description at Econpapers || Download paper |
| 2024 | Many learning agents interacting with an agent-based market model. (2023). Gebbie, Tim ; Paskaramoothy, Andrew ; Dicks, Matthew. In: Papers. RePEc:arx:papers:2303.07393. Full description at Econpapers || Download paper |
| 2023 | Why Topological Data Analysis Detects Financial Bubbles?. (2023). Nateghi, Vahid ; Manzi, Matteo ; Gidea, Marian ; Akingbade, Samuel W. In: Papers. RePEc:arx:papers:2304.06877. Full description at Econpapers || Download paper |
| 2023 | Complexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis. (2023). Garcin, Matthieu. In: Papers. RePEc:arx:papers:2305.13123. Full description at Econpapers || Download paper |
| 2023 | Application 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. Full description at Econpapers || Download paper |
| 2024 | Social and individual learning in the Minority Game. (2023). Zhou, Zuojun ; Zhuang, Fuwei ; Morsky, Bryce. In: Papers. RePEc:arx:papers:2307.11846. Full description at Econpapers || Download paper |
| 2023 | News-driven Expectations and Volatility Clustering. (2023). Inoua, Sabiou. In: Papers. RePEc:arx:papers:2309.04876. Full description at Econpapers || Download paper |
| 2023 | Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Zhao, Long ; Webster, Kevin ; Nutz, Marcel. In: Papers. RePEc:arx:papers:2310.14144. Full description at Econpapers || Download paper |
| 2023 | The evaluation of the effects of ESG scores on financial markets. (2023). Costa, Michele. In: Working Papers. RePEc:bol:bodewp:wp1189. Full description at Econpapers || Download paper |
| 2024 | Decomposing systemic risk: the roles of contagion and common exposures. (2024). Hipp, Ruben ; Haaj, Grzegorz. In: Working Paper Series. RePEc:ecb:ecbwps:20242929. Full description at Econpapers || Download paper |
| 2023 | Hurst 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. Full description at Econpapers || Download paper |
| 2023 | Fast-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. Full description at Econpapers || Download paper |
| 2023 | The paradox of talent: How chance affects success in tennis tournaments. (2023). Biondo, Alessio Emanuele ; Zappala, Chiara ; Rapisarda, Andrea ; Pluchino, Alessandro. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:176:y:2023:i:c:s096007792300989x. Full description at Econpapers || Download paper |
| 2024 | Pattern-detection in the global automotive industry: A manufacturer-supplier-product network analysis. (2024). Squartini, Tiziano ; Cimini, Giulio ; Zaccaria, Andrea ; Fessina, Massimiliano. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:181:y:2024:i:c:s0960077924001814. Full description at Econpapers || Download paper |
| 2024 | Dynamically selected steady states and criticality in non-reciprocal networks. (2024). Muoz, Miguel A ; Annibale, Alessia ; Calvo, Ruben ; Martorell, Carles. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:182:y:2024:i:c:s0960077924003618. Full description at Econpapers || Download paper |
| 2024 | Impacts of an expert’s opinion on the collective performance of a competing population for limited resources. (2024). Hui, P M ; Gu, G.-Q., ; Xu, C. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:183:y:2024:i:c:s0960077924004570. Full description at Econpapers || Download paper |
| 2023 | From 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. Full description at Econpapers || Download paper |
| 2024 | Social media information diffusion and excess stock returns co-movement. (2024). Li, Sai-Ping ; Wu, Wang-Long ; Chen, Zhang-Hangjian ; Koedijk, Kees G ; Bao, Kun. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005525. Full description at Econpapers || Download paper |
| 2023 | Interconnectedness of financial institutions based on pledged shares in China. (2023). Liu, Zhidong ; Yan, Guan. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005238. Full description at Econpapers || Download paper |
| 2023 | Consumer attention and company performance: Evidence from luxury companies. (2023). Lysebo, Caroline ; Hoydal, Hannah ; Cheraghali, Hamid ; Molnar, Peter. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006529. Full description at Econpapers || Download paper |
| 2023 | The 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. Full description at Econpapers || Download paper |
| 2023 | Market 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. Full description at Econpapers || Download paper |
| 2023 | Self-organization in mobile populations promotes the evolution of altruistic punishment. (2023). He, Zhixue ; Guo, Tian ; Shi, Lei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:630:y:2023:i:c:s0378437123008373. Full description at Econpapers || Download paper |
| 2024 | Fear of missing out and market stability: A networked minority game approach. (2024). Webb, Robert I ; Ryu, Doojin ; Park, Daehyeon. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:634:y:2024:i:c:s0378437123009755. Full description at Econpapers || Download paper |
| 2024 | Exploring the linkages between FinTech and ESG: A bibliometric perspective. (2024). Strano, Eugenia ; Rania, Francesco ; Trotta, Annarita. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531923003264. Full description at Econpapers || Download paper |
| 2023 | Evolutionary 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. Full description at Econpapers || Download paper |
| 2023 | Greenhouse 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. Full description at Econpapers || Download paper |
| 2023 | Greenhouse 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. Full description at Econpapers || Download paper |
| 2023 | Application 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. Full description at Econpapers || Download paper |
| 2023 | Greenhouse 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. Full description at Econpapers || Download paper |
| 2023 | Covariance matrix estimation for robust portfolio allocation. (2023). Gatignol, Valentin ; de Carvalho, Nathan ; Bitar, Ahmad W. In: Working Papers. RePEc:hal:wpaper:hal-04046454. Full description at Econpapers || Download paper |
| 2023 | Complexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis. (2023). Garcin, Matthieu. In: Working Papers. RePEc:hal:wpaper:hal-04102815. Full description at Econpapers || Download paper |
| 2023 | Stock 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. Full description at Econpapers || Download paper |
| 2023 | Microfounding 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. Full description at Econpapers || Download paper |
| 2024 | Investor 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 |
| 2024 | Financial contagion: evolutionary optimization of a multinational agentâ€based model. (2009). Caporale, Guglielmo Maria ; Wu, Hao ; Serguieva, Antoaneta. In: Intelligent Systems in Accounting, Finance and Management. RePEc:wly:isacfm:v:16:y:2009:i:1-2:p:111-125. Full description at Econpapers || Download paper |
Works by Damien Challet:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2007 | Feedback and efficiency in limit order markets In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Feedback and efficiency in limit order markets.(2008) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2009 | The universal shape of economic recession and recovery after a shock In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2009 | The Universal Shape of Economic Recession and Recovery after a Shock.(2009) In: Economics Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2009 | The 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 nother version. Agregated cites: 7 | article | |
| 2008 | Emergence of product differentiation from consumer heterogeneity and asymmetric information In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2008 | Emergence 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 nother version. Agregated cites: 4 | article | |
| 2009 | The Ups and Downs of Modeling Financial Time Series with Wiener Process Mixtures In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2010 | Prediction accuracy and sloppiness of log-periodic functions In: Papers. [Full Text][Citation analysis] | paper | 18 |
| 2013 | Prediction accuracy and sloppiness of log-periodic functions.(2013) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
| 2014 | Statistical Mechanics of Competitive Resource Allocation using Agent-based Models In: Papers. [Full Text][Citation analysis] | paper | 25 |
| 2015 | Statistical mechanics of competitive resource allocation using agent-based models.(2015) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
| 2014 | Predicting financial markets with Google Trends and not so random keywords In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2013 | Predicting financial markets with Google Trends and not so random keywords.(2013) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2014 | Do Google Trend data contain more predictability than price returns? In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2015 | Do Google Trend data contain more predictability than price returns?.(2015) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2015 | The limits of statistical significance of Hawkes processes fitted to financial data In: Papers. [Full Text][Citation analysis] | paper | 18 |
| 2016 | The limits of statistical significance of Hawkes processes fitted to financial data.(2016) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2016 | The limits of statistical significance of Hawkes processes fitted to financial data.(2016) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
| 2015 | Sudden Trust Collapse in Networked Societies In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2015 | Sudden trust collapse in networked societies.(2015) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2015 | Sudden trust collapse in networked societies.(2015) In: The European Physical Journal B: Condensed Matter and Complex Systems. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2015 | One- and two-sample nonparametric tests for the signal-to-noise ratio based on record statistics In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Sharper asset ranking from total drawdown durations In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Sharper asset ranking from total drawdown durations.(2017) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2017 | Sharper asset ranking from total drawdown durations.(2017) In: Applied Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2015 | Do investors trade too much? A laboratory experiment In: Papers. [Full Text][Citation analysis] | paper | 10 |
| 2017 | Do investors trade too much? A laboratory experiment.(2017) In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2017 | Do investors trade too much? A laboratory experiment.(2017) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2016 | Statistically validated network of portfolio overlaps and systemic risk In: Papers. [Full Text][Citation analysis] | paper | 33 |
| 2016 | Statistically validated network of portfolio overlaps and systemic risk.(2016) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 33 | paper | |
| 2016 | Why have asset price properties changed so little in 200 years In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2017 | Why have asset price properties changed so little in 200 years.(2017) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2016 | Regrets, learning and wisdom In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Regrets, learning and wisdom.(2016) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2018 | Statistically validated lead-lag networks and inventory prediction in the foreign exchange market In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2018 | Statistically validated leadlag networks and inventory prediction in the foreign exchange market.(2018) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2017 | Wisdom of the institutional crowd In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Wisdom of the institutional crowd.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2017 | Testing the causality of Hawkes processes with time reversal In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Testing the causality of Hawkes processes with time reversal.(2018) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2018 | Dynamical regularities of US equities opening and closing auctions In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Dynamical regularities of US equities opening and closing auctions.(2018) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2018 | Large large-trader activity weakens the long memory of limit order markets In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Large large-trader activity weakens the long memory of limit order markets.(2019) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2018 | Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions.(2019) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2020 | The market nanostructure origin of asset price time reversal asymmetry In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2018 | The market nanostructure origin of asset price time reversal asymmetry.(2018) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2021 | The market nanostructure origin of asset price time reversal asymmetry.(2021) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2021 | Deep Prediction of Investor Interest: a Supervised Clustering Approach In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Deep Prediction Of Investor Interest: a Supervised Clustering Approach.(2021) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2020 | Nonparametric sign prediction of high-dimensional correlation matrix coefficients In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Nonparametric sign prediction of high-dimensional correlation matrix coefficients.(2021) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2020 | Covariance matrix filtering with bootstrapped hierarchies In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2021 | Covariance matrix filtering with bootstrapped hierarchies.(2021) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2021 | Covariance matrix filtering with bootstrapped hierarchies.(2021) In: PLOS ONE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2023 | Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning.(2021) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2022 | Reactive global minimum variance portfolios with k-BAHC covariance cleaning.(2022) In: The European Journal of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2021 | Financial factors selection with knockoffs: fund replication, explanatory and prediction networks In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Financial 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 nother version. Agregated cites: 0 | article | |
| 2021 | Financial factors selection with knockoffs: fund replication, explanatory and prediction networks.(2021) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2023 | Cleaning the covariance matrix of strongly nonstationary systems with time-independent eigenvalues In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimisation In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2023 | Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization.(2023) In: Finance Research Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2023 | Dissecting the explanatory power of ESG features on equity returns by sector, capitalization, and year with interpretable machine learning In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2023 | Dissecting the Explanatory Power of ESG Features on Equity Returns by Sector, Capitalization, and Year with Interpretable Machine Learning.(2023) In: JRFM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2023 | Dissecting the explanatory power of ESG features on equity returns by sector, capitalization, and year with interpretable machine learning.(2023) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2022 | Statistical inference of lead-lag at various timescales between asynchronous time series from p-values of transfer entropy In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2023 | Price impact in equity auctions: zero, then linear In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2023 | Price impact in equity auctions: zero, then linear.(2023) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2024 | When is cross impact relevant? In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Recurrent Neural Networks with more flexible memory: better predictions than rough volatility In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Covariance matrix filtering and portfolio optimisation: the Average Oracle vs Non-Linear Shrinkage and all the variants of DCC-NLS In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Can ChatGPT Compute Trustworthy Sentiment Scores from Bloomberg Market Wraps? In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2024 | Equity auction dynamics: latent liquidity models with activity acceleration In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Comment on: Thermal model for Adaptive Competition in a Market In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2000 | Trading behavior and excess volatility in toy markets In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2001 | TRADING BEHAVIOR AND EXCESS VOLATILITY IN TOY MARKETS.(2001) In: Advances in Complex Systems (ACS). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2000 | From Minority Games to real markets In: Papers. [Full Text][Citation analysis] | paper | 43 |
| 2001 | From Minority Games to real markets.(2001) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 43 | article | |
| 2001 | Stylized facts of financial markets and market crashes in Minority Games In: Papers. [Full Text][Citation analysis] | paper | 55 |
| 2001 | Stylized 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 nother version. Agregated cites: 55 | article | |
| 2001 | Minority Games and stylized facts In: Papers. [Full Text][Citation analysis] | paper | 49 |
| 2001 | Minority games and stylized facts.(2001) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 49 | article | |
| 2001 | Analyzing and modelling 1+1d markets In: Papers. [Full Text][Citation analysis] | paper | 46 |
| 2001 | Analyzing and modeling 1+1d markets.(2001) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | article | |
| 2002 | Exact Hurst exponent and crossover behavior in a limit order market model In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2002 | Exact 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 nother version. Agregated cites: 5 | article | |
| 2002 | Criticality and finite size effects in a simple realistic model of stock market In: Papers. [Full Text][Citation analysis] | paper | 10 |
| 2002 | Limit order market analysis and modelling: on an universal cause for over-diffusive prices In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2003 | Limit 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 nother version. Agregated cites: 4 | article | |
| 2004 | Price return auto-correlation and predictability in agent-based models of financial markets In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2005 | Price return autocorrelation and predictability in agent-based models of financial markets.(2005) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 1999 | Modeling Market Mechanism with Minority Game In: Papers. [Full Text][Citation analysis] | paper | 41 |
| 2000 | Modeling market mechanism with minority game.(2000) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | article | |
| 2006 | News and price returns from threshold behaviour and vice-versa: exact solution of a simple agent-based market model In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Optimal approximations of power-laws with exponentials In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2006 | The demise of constant price impact functions and single-time step models of speculation In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2007 | The 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 nother version. Agregated cites: 1 | article | |
| 2010 | The tick-by-tick dynamical consistency of price impact in limit order books In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books.(2011) In: Applied Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2008 | Inter-pattern speculation: Beyond minority, majority and $-games In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 15 |
| 2005 | Inter-pattern speculation: beyond minority, majority and $-games.(2005) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 1997 | Emergence of cooperation and organization in an evolutionary game In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 219 |
| 1998 | On the minority game: Analytical and numerical studies In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 76 |
| 2000 | Exact 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] | article | 9 |
| 2004 | Shedding light on El Farol In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 10 |
| 2004 | Shedding light on El Farol.(2004) In: Game Theory and Information. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2004 | Stylized facts in minority games with memory: a new challenge In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 6 |
| 2004 | Minority mechanisms in models of agents learning collectively a resource level In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 0 |
| 2006 | Minority games with heterogeneous timescales In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 4 |
| 2012 | Baldovin-Stella stochastic volatility process and Wiener process mixtures In: Post-Print. [Full Text][Citation analysis] | paper | 5 |
| 2012 | Baldovin-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 nother version. Agregated cites: 5 | article | |
| 2020 | On the origins of extreme wealth inequality in the Talent vs Luck Model In: Post-Print. [Citation analysis] | paper | 1 |
| 2023 | Filtering time-dependent covariance matrices using time-independent eigenvalues In: Post-Print. [Citation analysis] | paper | 0 |
| 2023 | The Oracle estimator is suboptimal for global minimum variance portfolio optimisation In: Post-Print. [Citation analysis] | paper | 0 |
| 2020 | Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors.(2021) In: Journal of Economic Interaction and Coordination. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2019 | Large large-trader activity weakens the long memory of limit order markets In: Working Papers. [Citation analysis] | paper | 0 |
| 2019 | On the origins of extreme wealth inequality in the Talent vs Luck Model In: Working Papers. [Citation analysis] | paper | 0 |
| 2019 | Nonparametric sign prediction of high-dimensional correlation matrix coefficients In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Covariance matrix filtering with bootstrapped hierarchies In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2020 | Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning In: Working Papers. [Citation analysis] | paper | 0 |
| 2021 | Financial factors selection with knockoffs: fund replication, explanatory and prediction networks In: Working Papers. [Citation analysis] | paper | 0 |
| 2021 | Cleaning the covariance matrix of strongly nonstationary systems with time-independent eigenvalues In: Working Papers. [Citation analysis] | paper | 1 |
| 2021 | The Oracle estimator is suboptimal for global minimum variance portfolio optimisation In: Working Papers. [Citation analysis] | paper | 0 |
| 2022 | Dissecting the explanatory power of ESG features on equity returns by sector, capitalization, and year with interpretable machine learning In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2006 | Coolen, A.C.C.: The Mathematical Theory of Minority Games. Statistical Mechanics of Interacting Agents In: Journal of Economics. [Full Text][Citation analysis] | article | 2 |
| 2004 | Minority Games: Interacting agents in financial markets In: OUP Catalogue. [Citation analysis] | book | 67 |
| 2013 | Minority Games: Interacting agents in financial markets.(2013) In: OUP Catalogue. [Citation analysis] This paper has nother version. Agregated cites: 67 | book | |
| 2008 | The ups and downs of the renormalization group applied to financial time series In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
| 2009 | Structure-preserving desynchronization of minority games In: The European Physical Journal B: Condensed Matter and Complex Systems. [Full Text][Citation analysis] | article | 1 |
| 2018 | Realistic simulation of financial markets: analyzing market behaviors by the third mode of science In: Journal of Economic Interaction and Coordination. [Full Text][Citation analysis] | article | 0 |
| 2003 | Non-constant rates and over-diffusive prices in a simple model of limit order markets In: Quantitative Finance. [Full Text][Citation analysis] | article | 14 |
| 2007 | Optimal approximations of power laws with exponentials: application to volatility models with long memory In: Quantitative Finance. [Full Text][Citation analysis] | article | 5 |
| 2020 | THE ORIGINS OF EXTREME WEALTH INEQUALITY IN THE TALENT VERSUS LUCK MODEL In: Advances in Complex Systems (ACS). [Full Text][Citation analysis] | article | 2 |
| 2000 | PHASE TRANSITION IN A TOY MARKET In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
| 2008 | Taking a shower in Youth Hostels: risks and delights of heterogeneity In: Bonn Econ Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
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