Damien Challet

Laboratoire

Mathématiques et Informatique pour la Complexité et les Systèmes

Publications (35)

Article dans une revue 17/10/2024

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

Kevin Primicerio , Damien Challet , Stanislao Gualdi

Article dans une revue 30/09/2024

Statistical mechanics of competitive resource allocation using agent-based models

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

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

Christian Bongiorno , Damien Challet

Article dans une revue 16/07/2024

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

Damien Challet , Christian Bongiorno , Guillaume Pelletier

Article dans une revue 16/07/2024

The Oracle estimator is suboptimal for global minimum variance portfolio optimisation

Christian Bongiorno , Damien Challet

16/07/2024

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

Damien Challet , Vincent Ragel

Article dans une revue 16/07/2024

Nonparametric sign prediction of high-dimensional correlation matrix coefficients

Christian Bongiorno , 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

Christian Bongiorno , 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

Christian Bongiorno , Damien Challet