Damien Challet

Laboratoire

Mathématiques et Informatique pour la Complexité et les Systèmes

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Publications (44)

22/04/2025

Learning the Spoofability of Limit Order Books With Interpretable Probabilistic Neural Networks

Timothée Fabre , Damien Challet

27/02/2025

Optimal risk-aware interest rates for decentralized lending protocols

Damien Challet

05/02/2025

Consistent time travel for realistic interactions with historical data: reinforcement learning for market making

Damien Challet

Article dans une revue 01/01/2025

Stylized facts in money markets: an empirical analysis of the eurozone data

Victor Le Coz , Nolwenn Allaire , Michael Benzaquen , Damien Challet

Article dans une revue 01/01/2025

A minimal model of money creation within secured interbank markets

Victor Le Coz , Michael Benzaquen , Damien Challet

16/10/2024

Can ChatGPT Compute Trustworthy Sentiment Scores from Bloomberg Market Wraps?

Baptiste Lefort , Eric Benhamou , Jean-Jacques Ohana , David Saltiel , Beatrice Guez , D Challet , Damien Challet

16/10/2024

When Small Wins Big: Classification Tasks Where Compact Models Outperform Original GPT-4

Baptiste Lefort , Eric Benhamou , Jean-Jacques Ohana , Beatrice Guez , David Saltiel , Damien Challet

Article dans une revue 22/05/2024

Multi-Timescale Recurrent Neural Networks Beat Rough Volatility for Intraday Volatility Prediction

Damien Challet

Article dans une revue 12/01/2024

Equity auction dynamics: latent liquidity models with activity acceleration

Damien Challet , Ioane Muni Toke

Article dans une revue 01/01/2024

Price impact in equity auctions: zero, then linear

Damien Challet , Ioane Muni Toke

Article dans une revue 01/01/2024

When is cross impact relevant?

Victor Le Coz , Iacopo Mastromatteo , Michael Benzaquen , Damien Challet

29/09/2023

Covariance matrix filtering and portfolio optimisation: the Average Oracle vs Non-Linear Shrinkage and all the variants of DCC-NLS

Damien Challet

18/07/2023

Recurrent Neural Networks with more flexible memory: better predictions than rough volatility

Damien Challet

Article dans une revue 01/03/2023

Dissecting the explanatory power of ESG features on equity returns by sector, capitalization, and year with interpretable machine learning

Jérémi Assael , Laurent Carlier , Damien Challet

Article dans une revue 01/03/2023

The Oracle estimator is suboptimal for global minimum variance portfolio optimisation

Damien Challet

Article dans une revue 23/02/2023

Filtering time-dependent covariance matrices using time-independent eigenvalues

Grégoire Loeper , Damien Challet

Communication dans un congrès 21/06/2022

Statistical inference of lead-lag at various timescales between asynchronous time series from p-values of transfer entropy

Damien Challet

Article dans une revue 01/10/2021

Financial factors selection with knockoffs: fund replication, explanatory and prediction networks

Guillaume Pelletier , Damien Challet

Article dans une revue 19/08/2021

Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning

Damien Challet

Article dans une revue 31/03/2021

Nonparametric sign prediction of high-dimensional correlation matrix coefficients

Damien Challet

Article dans une revue 14/01/2021

Covariance matrix filtering with bootstrapped hierarchies

Damien Challet

Article dans une revue 07/01/2021

Deep Prediction Of Investor Interest: a Supervised Clustering Approach

Baptiste Barreau , Laurent Carlier , Damien Challet

Article dans une revue 08/07/2020

Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors

Kevin Primicerio , Stanislao Gualdi , Damien Challet

Article dans une revue 03/06/2020

On the origins of extreme wealth inequality in the Talent vs Luck Model

Alessandro Pluchino , Alessio Emanuele Biondo , Andrea Rapisarda , Damien Challet

Article dans une revue 18/08/2019

Large large-trader activity weakens the long memory of limit order markets

Kevin Primicerio , Damien Challet

Chapitre d'ouvrage 01/01/2019

Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions

Damien Challet

Article dans une revue 28/12/2018

The market nanostructure origin of asset price time reversal asymmetry

Marcus Cordi , Serge Kassibrakis , Damien Challet

Article dans une revue 03/12/2018

Statistically validated leadlag networks and inventory prediction in the foreign exchange market

Rémy Chicheportiche , Mehdi Lallouache , Serge Kassibrakis , Damien Challet

Article dans une revue 26/03/2018

Testing the causality of Hawkes processes with time reversal

Marcus Cordi , Damien Challet , Ioane Muni Toke

Article dans une revue 01/01/2018

Dynamical regularities of US equities opening and closing auctions

Nikita Gourianov , Damien Challet