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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3,302

CITATIONS
Rank 26,047

SSRN RANKINGS

Top 26,047

in Total Papers Citations

23

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 955 (22,951)
Citation 7

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 706 (35,037)
Citation 1

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 261 (116,101)
Citation 10

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 219 (138,430)

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 165 (179,211)

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 (183,964)
Citation 1

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 147 (197,420)
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 (331,020)

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 (471,644)

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 (575,676)

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 106 (253,143)
Citation 2

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 (285,979)

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 (292,343)
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 73 (319,769)

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 (340,435)

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 (379,310)

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 47 (396,152)
Citation 3

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 28 (474,318)

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 12 (566,065)

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 10 (578,470)

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 8 (591,065)

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

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