Damien Challet

CentraleSupélec

Associate Professor

Labo MICS

3, rue Joliot-Curie

Gif-sur-Yvette, 91192

France

Encelade Capital SA

Chemin du Bochet 8

Sulpice, 1025

Switzerland

SCHOLARLY PAPERS

22

DOWNLOADS
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3,266

CITATIONS
Rank 28,753

SSRN RANKINGS

Top 28,753

in Total Papers Citations

8

Scholarly Papers (22)

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 944 (22,871)

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 701 (34,715)

Abstract:

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Google Trends, prediction, backtest, trading strategy

3.

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 260 (114,645)
Citation 5

Abstract:

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

4.

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 211 (141,131)

Abstract:

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

5.

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 163 (178,249)

Abstract:

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Hawkes process, Endogeneity, Order flow, Estimation

6.

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 160 (181,063)

Abstract:

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

7.

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 146 (195,425)
Citation 1

Abstract:

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

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 70 (325,836)

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

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 31 (463,669)

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 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 14 (565,423)

Abstract:

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

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 103 (254,281)

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 88 (281,601)

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 85 (287,787)
Citation 1

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 73 (314,829)

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 65 (335,082)

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 52 (373,244)

Abstract:

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

15.

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 46 (393,185)
Citation 1

Abstract:

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bubbles, crash, prediction, log-periodic fits

16.

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 27 (471,491)

Abstract:

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auctions, US equities, linear response, imbalance, liquidity

17.

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 11 (561,849)

Abstract:

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statistical finance, market microstructure

18.

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 9 (579,748)

Abstract:

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

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 7 (585,732)

Abstract:

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Hawkes Processes, Goodness of Fit, Time Reversal

20.

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

Abstract:

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agent-based modelling, speculation, efficiency, minority game

21.

Shedding Light on El Farol

Physica A: Statistical Mechanics and its Applications, Vol. 332 , No. 1, pp. 469-482, February 2004
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

22.

From Minority Games to Real Markets

Quantitative Finance, Vol. 1, No. 1, pp. 168-176, January 2001
Posted: 25 Sep 2001
CentraleSupélec, Universita di Cagliari, Abdus Salam International Centre Theoretical Physics (ICTP) and Universite de Fribourg

Abstract:

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