Damien Challet

Publications :

• Pré-publication, Document de travail - 10 documents
• • Timothée Fabre, Damien Challet. Learning the Spoofability of Limit Order Books With Interpretable Probabilistic Neural Networks, 2025-04-23. (https://hal.science/hal-05044526v1)
  • Bastien Baude, Damien Challet, Ioane Muni Toke. Optimal risk-aware interest rates for decentralized lending protocols, 2025-02-28. (https://hal.science/hal-04971758v1)
  • Vincent Ragel, Damien Challet. Consistent time travel for realistic interactions with historical data: reinforcement learning for market making, 2025-02-05. (https://hal.science/hal-04930402v1)
  • Baptiste Lefort, Eric Benhamou, Jean-Jacques Ohana, David Saltiel, Beatrice Guez, D Challet. Can ChatGPT Compute Trustworthy Sentiment Scores from Bloomberg Market Wraps?, 2024-10-16. (https://hal.science/hal-04739906v1)
  • Baptiste Lefort, Eric Benhamou, Jean-Jacques Ohana, Beatrice Guez, David Saltiel, Damien Challet. When Small Wins Big: Classification Tasks Where Compact Models Outperform Original GPT-4, 2024-10-16. (https://hal.science/hal-04739931v1)
  • Christian Bongiorno, Damien Challet. Covariance matrix filtering and portfolio optimisation: the Average Oracle vs Non-Linear Shrinkage and all the variants of DCC-NLS, 2023-12-05. (https://hal.science/hal-04323624v1)
  • Damien Challet, Vincent Ragel. Recurrent Neural Networks with more flexible memory: better predictions than rough volatility, 2023-07-18. (https://hal.science/hal-04165354v1)
  • Kevin Primicerio, Damien Challet, Stanislao Gualdi. Wisdom of the institutional crowd, 2017-03-08. (https://hal.science/hal-01484914v1)
  • Damien Challet. One- and two-sample nonparametric tests for the signal-to-noise ratio based on record statistics, 2015-02-20. (https://hal.science/hal-01119106v1)
  • Damien Challet, Ahmed Bel Hadj Ayed. Predicting financial markets with Google Trends and not so random keywords, 2013-08-14. (https://hal.science/hal-00851607v1)
• Article dans une revue - 27 documents
• • Mohammed Salek, Damien Challet, Ioane Muni Toke. Equity auction dynamics: latent liquidity models with activity acceleration, 2024-01-12. (https://hal.science/hal-04391810v2)
  • Mohammed Salek, Damien Challet, Ioane Muni Toke. Price impact in equity auctions: zero, then linear, 2024. (https://hal.science/hal-03938660v2)
  • Victor Le Coz, Iacopo Mastromatteo, Damien Challet, Michael Benzaquen. When is cross impact relevant?, 2024. (https://hal.science/hal-04234766v1)
  • Christian Bongiorno, Damien Challet. The Oracle estimator is suboptimal for global minimum variance portfolio optimisation, 2023-03. (https://centralesupelec.hal.science/hal-03491913v1)
  • Jérémi Assael, Laurent Carlier, Damien Challet. Dissecting the explanatory power of ESG features on equity returns by sector, capitalization, and year with interpretable machine learning, 2023-03-01. (https://hal.science/hal-03791538v3)
  • Christian Bongiorno, Damien Challet, Grégoire Loeper. Filtering time-dependent covariance matrices using time-independent eigenvalues, 2023-02-23. (https://centralesupelec.hal.science/hal-03481441v1)
  • Damien Challet, Christian Bongiorno, Guillaume Pelletier. Financial factors selection with knockoffs: fund replication, explanatory and prediction networks, 2021-10. (https://centralesupelec.hal.science/hal-03165842v1)
  • Christian Bongiorno, Damien Challet. Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning, 2021-08-19. (https://centralesupelec.hal.science/hal-02612262v1)
  • Christian Bongiorno, Damien Challet. Nonparametric sign prediction of high-dimensional correlation matrix coefficients, 2021-03-31. (https://hal.science/hal-02335586v1)
  • Christian Bongiorno, Damien Challet. Covariance matrix filtering with bootstrapped hierarchies, 2021-01-14. (https://hal.science/hal-02506848v1)
  • Baptiste Barreau, Laurent Carlier, Damien Challet. Deep Prediction Of Investor Interest: a Supervised Clustering Approach, 2021-01-07. (https://hal.science/hal-02276055v3)
  • Kevin Primicerio, Damien Challet, Stanislao Gualdi. Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors, 2020-07-08. (https://hal.science/hal-04317258v1)
  • Damien Challet, Alessandro Pluchino, Alessio Emanuele Biondo, Andrea Rapisarda. On the origins of extreme wealth inequality in the Talent vs Luck Model, 2020-06-03. (https://hal.science/hal-02188240v1)
  • Kevin Primicerio, Damien Challet. Large large-trader activity weakens the long memory of limit order markets, 2019-08-18. (https://hal.science/hal-02021772v1)
  • Marcus Cordi, Damien Challet, Serge Kassibrakis. The market nanostructure origin of asset price time reversal asymmetry, 2018-12-28. (https://hal.science/hal-01966419v1)
  • Damien Challet, Rémy Chicheportiche, Mehdi Lallouache, Serge Kassibrakis. Statistically validated leadlag networks and inventory prediction in the foreign exchange market, 2018-12-03. (https://hal.science/hal-01705087v1)
  • Marcus Cordi, Damien Challet, Ioane Muni Toke. Testing the causality of Hawkes processes with time reversal, 2018-03-26. (https://hal.science/hal-01593448v1)
  • Damien Challet, Nikita Gourianov. Dynamical regularities of US equities opening and closing auctions, 2018. (https://inria.hal.science/hal-01702726v1)
  • João da Gama Batista, Domenico Massaro, Jean-Philippe Bouchaud, Damien Challet, Cars Hommes. Do investors trade too much? A laboratory experiment, 2017-08-22. (https://hal.science/hal-01244465v1)
  • Damien Challet. Sharper asset ranking from total drawdown durations, 2017-06-06. (https://hal.science/hal-01149704v1)
  • Damien Challet. Regrets, learning and wisdom, 2016-12. (https://centralesupelec.hal.science/hal-01312973v1)
  • Stanislao Gualdi, Giulio Cimini, Kevin Primicerio, Riccardo Di Clemente, Damien Challet. Statistically validated network of portfolio overlaps and systemic risk, 2016-12. (https://hal.science/hal-01705092v1)
  • Mehdi Lallouache, Damien Challet. The limits of statistical significance of Hawkes processes fitted to financial data, 2016-01. (https://hal.science/hal-01134105v1)
  • Damien Challet, Ahmed Bel Hadj Ayed. Do Google Trend data contain more predictability than price returns?, 2015-03-19. (https://hal.science/hal-00960875v1)
  • João da Gama Batista, Jean-Philippe Bouchaud, Damien Challet. Sudden trust collapse in networked societies, 2015-03. (https://hal.science/hal-01119120v1)
  • Anirban Chakraborti, Damien Challet, Arnab Chatterjee, Matteo Marsili, Yi-Cheng Zhang, Bikas K. Chakrabarti. Statistical mechanics of competitive resource allocation using agent-based models, 2015-01-25. (https://hal.science/hal-00834380v1)
  • Pier Paolo Peirano, Damien Challet. Baldovin-Stella stochastic volatility process and Wiener process mixtures, 2012-08-06. (https://hal.science/hal-00734355v1)
• Communication dans un congrès - 1 document
• • Christian Bongiorno, Damien Challet. Statistical inference of lead-lag at various timescales between asynchronous time series from p-values of transfer entropy, 2020-11-08. (https://hal.science/hal-04021505v1)
• Chapitre d'ouvrage - 2 documents
• • Damien Challet. Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions, 2019. (https://hal.science/hal-01829337v1)
  • Jean-Philippe Bouchaud, Damien Challet. Why have asset price properties changed so little in 200 years, 2017-02-27. (https://centralesupelec.hal.science/hal-01311113v1)
• PROCEEDINGS - 1 document
• • Frédéric Abergel, Marc Aiguier, Damien Challet, Paul-Henry P.-H. Cournède, Gilles Fay, Pauline Godillon-Lafitte. MMCS, Mathematical Modelling of Complex Systems, 2014-12. (https://hal.science/hal-02539582v1)