Damien Challet

Publications :

  • Pre-submission / Working document - 8 documents
    • Mohammed Salek, Damien Challet, Ioane Muni Toke. Equity auction dynamics: latent liquidity models with activity acceleration, 2024-01-12. (https://hal.science/hal-04391810)
    • 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-04323624)
    • Mohammed Salek, Damien Challet, Ioane Muni Toke. Price impact in equity auctions: zero, then linear, 2023-09-18. (https://hal.science/hal-03938660v2)
    • Damien Challet, Vincent Ragel. Recurrent Neural Networks with more flexible memory: better predictions than rough volatility, 2023-07-18. (https://hal.science/hal-04165354)
    • Victor Le Coz, Iacopo Mastromatteo, Damien Challet, Michael Benzaquen. When is cross impact relevant?, 2023. (https://hal.science/hal-04234766)
    • Kevin Primicerio, Damien Challet, Stanislao Gualdi. Wisdom of the institutional crowd, 2017-03-08. (https://hal.science/hal-01484914)
    • 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-01119106)
    • Damien Challet, Ahmed Bel Hadj Ayed. Predicting financial markets with Google Trends and not so random keywords, 2013-08-14. (https://hal.science/hal-00851607)
  • Article in a review - 24 documents
  • PROCEEDINGS - 2 documents
    • Christian Bongiorno, Damien Challet. Statistical inference of lead-lag at various timescales between asynchronous time series from p-values of transfer entropy, 2022-06-21. (https://hal.science/hal-04021505)
    • 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-02539582)
  • Work chapter - 2 documents