Damien Challet

CentraleSupélec

Associate Professor

Labo MICS

3, rue Joliot-Curie

Gif-sur-Yvette, 91192

France

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 15,912

SSRN RANKINGS

Top 15,912

in Total Papers Downloads

3,725

SSRN CITATIONS
Rank 22,166

SSRN RANKINGS

Top 22,166

in Total Papers Citations

18

CROSSREF CITATIONS

26

Scholarly Papers (23)

1.

Predicting Financial Markets with Google Trends and Not so Random Keywords

Number of pages: 9 Posted: 15 Aug 2013
Damien Challet and Ahmed Bel Hadj Ayed
CentraleSupélec and BNP Paribas
Downloads 1,034 (25,556)
Citation 12

Abstract:

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2.

Do Google Trend Data Contain More Predictability than Price Returns?

Number of pages: 15 Posted: 08 Mar 2014
Damien Challet and Ahmed Bel Hadj Ayed
CentraleSupélec and BNP Paribas
Downloads 751 (40,036)
Citation 6

Abstract:

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Google Trends, prediction, backtest, trading strategy

3.

Moment-Free Sharpe Ratio Estimation from Total Drawdown Durations

Number of pages: 15 Posted: 08 May 2015 Last Revised: 27 Oct 2015
Damien Challet
CentraleSupélec
Downloads 277 (132,569)

Abstract:

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Sharpe ratio, drawdown total duration, robust estimation, efficiency, price records

4.

Stylized Facts of Financial Markets and Market Crashes in Minority Games

Number of pages: 6 Posted: 02 Feb 2001
Damien Challet, Matteo Marsili and Yi-Cheng Zhang
CentraleSupélec, Abdus Salam International Centre Theoretical Physics (ICTP) and Universite de Fribourg
Downloads 268 (137,246)
Citation 18

Abstract:

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Bounded rationality, heterogeneous agents, inductive behavior, minority game, stylized facts, minimal model

The Universal Shape of Economic Recession and Recovery after a Shock

Number of pages: 24 Posted: 02 Dec 2008 Last Revised: 15 Jun 2010
Damien Challet, Sorin Solomon and Gur Yaari
CentraleSupélec, The Racah Institute of Physics, Hebrew University and The Racah Institute of Physics, Hebrew University
Downloads 134 (256,382)

Abstract:

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Economic growth, transition economies, GDP, modelling, prediction, optimal policy

The Universal Shape of Economic Recession and Recovery after a Shock

Economics: The Open-Access, Open-Assessment E-Journal, Vol. 3, 2009-36
Number of pages: 25 Posted: 18 Dec 2010
Damien Challet, Sorin Solomon and Gur Yaari
CentraleSupélec, Hebrew University of Jerusalem and The Racah Institute of Physics, Hebrew University
Downloads 81 (362,220)

Abstract:

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Economic growth, GDP, shocks, response function, modelling, prediction, optimal policy

The Universal Shape of Economic Recession and Recovery after a Shock

Economics Discussion Paper No. 2009-6
Number of pages: 19 Posted: 18 Dec 2010
Damien Challet, Sorin Solomon and Gur Yaari
CentraleSupélec, Hebrew University of Jerusalem and The Racah Institute of Physics, Hebrew University
Downloads 16 (664,718)

Abstract:

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Economic growth, transition economies, GDP, modelling, prediction, optimal policy

6.

The Limits of Statistical Significance of Hawkes Processes Fitted to Financial Data

Quantitative Finance, vol 16, number 1, pages 1-11, 2016
Number of pages: 15 Posted: 14 Jun 2014 Last Revised: 24 May 2016
Mehdi Lallouache and Damien Challet
Ecole Centrale Paris and CentraleSupélec
Downloads 170 (210,137)
Citation 4

Abstract:

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Hawkes process, Endogeneity, Order flow, Estimation

7.

Sudden Trust Collapse in Networked Societies

Eur. Phys. J. B 88 (3) 55 (2015)
Number of pages: 15 Posted: 23 Sep 2014 Last Revised: 17 Mar 2015
CentraleSupélec, Capital Fund Management and CentraleSupélec
Downloads 163 (217,650)
Citation 1

Abstract:

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trust, networks, sudden collapse, collective behavior, crisis, hysteresis, phase transition

8.

Trading Behavior and Excess Volatility in Toy Markets

SISSA Working Paper No. CM/188/00
Number of pages: 14 Posted: 15 Sep 2000
Matteo Marsili and Damien Challet
Abdus Salam International Centre Theoretical Physics (ICTP) and CentraleSupélec
Downloads 150 (233,247)

Abstract:

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Adaptive Learning, El Farol Bar Problem, Minority Games, Market Impact, Adaptive Learning

9.

Trader Lead-Lag Networks and Order Flow Prediction

Number of pages: 21 Posted: 18 Sep 2016
CentraleSupélec, Ecole Centrale Paris, Ecole Centrale Paris and Swissquote Bank
Downloads 135 (254,019)

Abstract:

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order flow, lead-lag, machine learning, prediction, networks

10.

The Ups and Downs of Modeling Financial Time Series with Wiener Process Mixtures

Number of pages: 28 Posted: 29 Jul 2008 Last Revised: 20 Jul 2009
Damien Challet and Pier Paolo Peirano
CentraleSupélec and Capital Fund Management
Downloads 90 (336,632)

Abstract:

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Stylized Facts, Student Processes, Hyperbolic Distributions, Wiener Process Mixtures

11.

So You Are Making Money in Financial Markets: Should You Tell Your Friends How?

Number of pages: 7 Posted: 28 Feb 2007
Damien Challet
CentraleSupélec
Downloads 88 (341,375)
Citation 3

Abstract:

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Arbitrage, price impact functions, paradox, feed-back

12.

Do Investors Trade Too Much? A Laboratory Experiment

Number of pages: 57 Posted: 11 Dec 2015
CentraleSupélec, Catholic University of Milan, Capital Fund Management, CentraleSupélec and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 86 (346,193)

Abstract:

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13.

Wisdom of the Institutional Crowd

Number of pages: 11 Posted: 10 Mar 2017
Kevin Primicerio, Damien Challet and Stanislao Gualdi
CentraleSupélec, CentraleSupélec and Capital Fund Management
Downloads 73 (380,762)

Abstract:

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Keywords Wisdom of the Crowd, Institutional Investors, Optimal Portfolios

14.

Turnover, Account Value and Diversification of Real Traders: Evidence of Collective Portfolio Optimizing Behavior

Number of pages: 26 Posted: 16 Jun 2010 Last Revised: 26 Jun 2010
David Morton de Lachapelle and Damien Challet
Swissquote Bank and CentraleSupélec
Downloads 57 (432,374)
Citation 3

Abstract:

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Brokerage Data, Collective Behavior, Mean-Variance Portfolio, Non-Linear Transaction Costs, Turnover

15.

Dynamical Regularities of US Equities Opening and Closing Auctions

Number of pages: 15 Posted: 13 Feb 2018
Damien Challet and Nikita Gourianov
CentraleSupélec and University of Oxford
Downloads 55 (439,574)

Abstract:

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auctions, US equities, linear response, imbalance, liquidity

16.

Prediction Accuracy and Sloppiness of Log-Periodic Functions

Number of pages: 6 Posted: 24 Jun 2010
David Brée, Damien Challet and Pier Paolo Peirano
University of Manchester - School of Computer Science, CentraleSupélec and Capital Fund Management
Downloads 48 (466,342)
Citation 3

Abstract:

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bubbles, crash, prediction, log-periodic fits

17.

The Market Nanostructure Origin of Asset Price Time Reversal Asymmetry

Number of pages: 19 Posted: 12 Jan 2019
Marcus Cordi, Damien Challet and Serge Kassibrakis
CentraleSupélec, CentraleSupélec and Swissquote Bank
Downloads 15 (648,634)
Citation 1

Abstract:

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Time Reversal Asymmetry, Statistically Validated Networks, Lead-Lag Networks

18.

Large Large-Trader Activity Weakens the Long Memory of Limit Order Markets

Number of pages: 9 Posted: 27 Mar 2018
Kevin Primicerio and Damien Challet
CentraleSupélec and CentraleSupélec
Downloads 15 (648,634)

Abstract:

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statistical finance, market microstructure

19.

Testing the Causality of Hawkes Processes with Time Reversal

Number of pages: 13 Posted: 27 Sep 2017
Marcus Cordi, Damien Challet and Ioane Muni Toke
CentraleSupélec, CentraleSupélec and Ecole Centrale Paris
Downloads 12 (670,681)

Abstract:

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Hawkes Processes, Goodness of Fit, Time Reversal

20.

Financial Factors Selection with Knockoffs: Fund Replication, Explanatory and Prediction Networks

Number of pages: 11 Posted: 28 Apr 2021
CentraleSupélec, CentraleSupélec and affiliation not provided to SSRN
Downloads 7 (708,165)

Abstract:

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factor selection, clustering, lead-lag, prediction

21.

Inter-Pattern Speculation: Beyond Minority, Majority and $-Games

Journal of Economic Dynamics and Control, Vol. 32, No. 1, 2007
Posted: 15 Oct 2008
Damien Challet
CentraleSupélec

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agent-based modelling, speculation, efficiency, minority game

22.

Shedding Light on El Farol

Posted: 06 Dec 2004
Damien Challet, Matteo Marsili and Gabriele Ottino
CentraleSupélec, Abdus Salam International Centre Theoretical Physics (ICTP) and University of Fribourg (Switzerland) - Department of Finance

Abstract:

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El Farol, minority game, exact solution

23.

From Minority Games to Real Markets

Posted: 25 Sep 2001
CentraleSupélec, Universita di Cagliari, Abdus Salam International Centre Theoretical Physics (ICTP) and Universite de Fribourg

Abstract:

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