Damien Challet

Laboratoire

Mathématiques et Informatique pour la Complexité et les Systèmes

Publications (44)

Article dans une revue 30/10/2025

Statistical mechanics of competitive resource allocation using agent-based models

Anirban Chakraborti , Arnab Chatterjee , Matteo Marsili , Yi-Cheng Zhang , Bikas K. Chakrabarti , Damien Challet

Article dans une revue 29/10/2025

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 24/10/2025

When is cross impact relevant?

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

Article dans une revue 09/10/2025

A minimal model of money creation within secured interbank markets

Victor Le Coz , Michael Benzaquen , Damien Challet

Article dans une revue 30/09/2025

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

Damien Challet

Chapitre d'ouvrage 20/08/2025

Why have asset price properties changed so little in 200 years

Jean-Philippe Bouchaud , Damien Challet

Article dans une revue 10/07/2025

Do investors trade too much? A laboratory experiment

João da Gama Batista , Domenico Massaro , Jean-Philippe Bouchaud , Cars Hommes , Damien Challet

25/04/2025

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

Timothée Fabre , Damien Challet

Article dans une revue 24/04/2025

Regrets, learning and wisdom

Damien Challet

Article dans une revue 31/03/2025

The Oracle estimator is suboptimal for global minimum variance portfolio optimisation

Damien Challet

07/03/2025

Optimal risk-aware interest rates for decentralized lending protocols

Damien Challet

05/03/2025

Wisdom of the institutional crowd

Kevin Primicerio , Stanislao Gualdi , Damien Challet

Article dans une revue 05/03/2025

Sudden trust collapse in networked societies

João da Gama Batista , Jean-Philippe Bouchaud , Damien Challet

Article dans une revue 05/03/2025

Baldovin-Stella stochastic volatility process and Wiener process mixtures

Pier Paolo Peirano , Damien Challet

25/02/2025

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

15/02/2025

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

Damien Challet

Article dans une revue 07/02/2025

Price impact in equity auctions: zero, then linear

Damien Challet , Ioane Muni Toke

Article dans une revue 19/11/2024

Equity auction dynamics: latent liquidity models with activity acceleration

Damien Challet , Ioane Muni Toke

05/11/2024

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 17/10/2024

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

Kevin Primicerio , Stanislao Gualdi , Damien Challet

Communication dans un congrès 16/07/2024

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

Damien Challet

Article dans une revue 16/07/2024

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 16/07/2024

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

Damien Challet

Article dans une revue 16/07/2024

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

Kevin Primicerio , Damien Challet

Article dans une revue 16/07/2024

Covariance matrix filtering with bootstrapped hierarchies

Damien Challet

Article dans une revue 16/07/2024

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

Guillaume Pelletier , Damien Challet

16/07/2024

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

Damien Challet

16/07/2024

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

Damien Challet

Article dans une revue 16/07/2024

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 16/07/2024

Nonparametric sign prediction of high-dimensional correlation matrix coefficients

Damien Challet