Details about Damien Challet

Access statistics for papers by Damien Challet.

Last updated 2009-10-01. Update your information in the RePEc Author Service.

Short-id: pch419

Working Papers

2009

1. The Universal Shape of Economic Recession and Recovery after a Shock
   Economics Discussion Papers, Kiel Institute for the World Economy
   Also in Quantitative Finance Papers, arXiv.org (2009)
2. The Ups and Downs of Modeling Financial Time Series with Wiener Process Mixtures
   Quantitative Finance Papers, arXiv.org
   Also in MPRA Paper, University Library of Munich, Germany (2008)

2008

3. Emergence of product differentiation from consumer heterogeneity and asymmetric information
   Quantitative Finance Papers, arXiv.org
4. Taking a shower in Youth Hostels: risks and delights of heterogeneity
   Bonn Econ Discussion Papers, University of Bonn, Germany

2007

5. Feedback and efficiency in limit order markets
   Quantitative Finance Papers, arXiv.org
6. So you are about to make money in financial markets. Should you tell your friends how?
   Quantitative Finance Papers, arXiv.org

2006

7. News and price returns from threshold behaviour and vice-versa: exact solution of a simple agent-based market model
   Quantitative Finance Papers, arXiv.org
8. Optimal approximations of power-laws with exponentials
   Quantitative Finance Papers, arXiv.org
9. The demise of constant price impact functions and single-time step models of speculation
   Quantitative Finance Papers, arXiv.org

2005

10. Inter-pattern speculation: beyond minority, majority and $-games
    Finance, EconWPA View citations
    See also Journal Article in Journal of Economic Dynamics and Control (2008)

2004

11. Price return auto-correlation and predictability in agent-based models of financial markets
    Quantitative Finance Papers, arXiv.org
    See also Journal Article in Quantitative Finance (2005)
12. Shedding light on El Farol
    Game Theory and Information, EconWPA View citations

2002

13. Criticality and finite size effects in a simple realistic model of stock market
    Quantitative Finance Papers, arXiv.org View citations
14. Exact Hurst exponent and crossover behavior in a limit order market model
    Quantitative Finance Papers, arXiv.org
15. Limit order market analysis and modelling: on an universal cause for over-diffusive prices
    Quantitative Finance Papers, arXiv.org

2001

16. Analyzing and modelling 1+1d markets
    Quantitative Finance Papers, arXiv.org View citations
17. Minority Games and stylized facts
    Quantitative Finance Papers, arXiv.org
18. Stylized facts of financial markets and market crashes in Minority Games
    Quantitative Finance Papers, arXiv.org View citations

2000

19. Comment on: Thermal model for Adaptive Competition in a Market
    Quantitative Finance Papers, arXiv.org View citations
20. From Minority Games to real markets
    Quantitative Finance Papers, arXiv.org View citations
21. Trading behavior and excess volatility in toy markets
    Quantitative Finance Papers, arXiv.org View citations
    See also Journal Article in Advances in Complex Systems (ACS) (2001)

1999

22. Modeling Market Mechanism with Minority Game
    Quantitative Finance Papers, arXiv.org View citations

Journal Articles

2008

1. Inter-pattern speculation: Beyond minority, majority and $-games
   Journal of Economic Dynamics and Control, 2008, 32, (1), 85-100
   See also Working Paper (2005)

2007

2. Optimal approximations of power laws with exponentials: application to volatility models with long memory
   Quantitative Finance, 2007, 7, (6), 585-589

2006

3. Coolen, A.C.C.: The Mathematical Theory of Minority Games. Statistical Mechanics of Interacting Agents
   Journal of Economics, 2006, 88, (3), 311-314

2005

4. Price return autocorrelation and predictability in agent-based models of financial markets
   Quantitative Finance, 2005, 5, (6), 569-576 View citations
   See also Working Paper (2004)

2001

5. TRADING BEHAVIOR AND EXCESS VOLATILITY IN TOY MARKETS
   Advances in Complex Systems (ACS), 2001, 04, (01), 3-17 View citations
   See also Working Paper (2000)