Details about Damien Challet

Homepage:	http://damien.challet.googlepages.com/research
Workplace:	Ecole Centrale Paris, Laboratoire de mathématiques appliquées aux systèmes

Access statistics for papers by Damien Challet.

Last updated 2025-02-07. Update your information in the RePEc Author Service.

Short-id: pch419

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Working Papers

2025

1. Consistent time travel for realistic interactions with historical data: reinforcement learning for market making
   Papers, arXiv.org

2024

2. A minimal model of money creation under regulatory constraints
   Papers, arXiv.org
3. Can ChatGPT Compute Trustworthy Sentiment Scores from Bloomberg Market Wraps?
   (ChatGPT peut-il calculer des scores de sentiment dignes de confiance à partir de Bloomberg Market Wraps ?)
   Working Papers, HAL
   Also in Papers, arXiv.org (2024) View citations (1)
4. Equity auction dynamics: latent liquidity models with activity acceleration
   Papers, arXiv.org
   See also Journal Article Equity auction dynamics: latent liquidity models with activity acceleration, Quantitative Finance, Taylor & Francis Journals (2024) (2024)
5. Stylized facts in money markets: an empirical analysis of the eurozone data
   Papers, arXiv.org View citations (1)
6. When Small Wins Big: Classification Tasks Where Compact Models Outperform Original GPT-4
   (Quand les petits gagnent les grands: tâches de classification pour lesquelles les modèles compacts sont plus performants que les modèles originaux GPT-4)
   Working Papers, HAL
7. When is cross impact relevant?
   Post-Print, HAL View citations (1)
   Also in Papers, arXiv.org (2024) View citations (1)
   See also Journal Article When is cross impact relevant?, Quantitative Finance, Taylor & Francis Journals (2024) View citations (1) (2024)

2023

8. Cleaning the covariance matrix of strongly nonstationary systems with time-independent eigenvalues
   Papers, arXiv.org View citations (1)
9. Covariance matrix filtering and portfolio optimisation: the Average Oracle vs Non-Linear Shrinkage and all the variants of DCC-NLS
   Working Papers, HAL
   Also in Papers, arXiv.org (2023)
   See also Journal Article Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS, Quantitative Finance, Taylor & Francis Journals (2024) (2024)
10. Dissecting the explanatory power of ESG features on equity returns by sector, capitalization, and year with interpretable machine learning
    Post-Print, HAL View citations (2)
    Also in Papers, arXiv.org (2023) View citations (5)
    See also Journal Article Dissecting the Explanatory Power of ESG Features on Equity Returns by Sector, Capitalization, and Year with Interpretable Machine Learning, JRFM, MDPI (2023) View citations (2) (2023)
11. Filtering time-dependent covariance matrices using time-independent eigenvalues
    Post-Print, HAL View citations (1)
12. Price impact in equity auctions: zero, then linear
    Papers, arXiv.org View citations (1)
13. Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning
    Papers, arXiv.org View citations (1)
    Also in Post-Print, HAL (2021)
    See also Journal Article Reactive global minimum variance portfolios with k-BAHC covariance cleaning, The European Journal of Finance, Taylor & Francis Journals (2022) (2022)
14. Recurrent Neural Networks with more flexible memory: better predictions than rough volatility
    Working Papers, HAL
    Also in Papers, arXiv.org (2023)
15. The Oracle estimator is suboptimal for global minimum variance portfolio optimisation
    Post-Print, HAL

2022

16. Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimisation
    Papers, arXiv.org
    See also Journal Article Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization, Finance Research Letters, Elsevier (2023) View citations (1) (2023)
17. Statistical inference of lead-lag at various timescales between asynchronous time series from p-values of transfer entropy
    Papers, arXiv.org View citations (2)

2021

18. Covariance matrix filtering with bootstrapped hierarchies
    Post-Print, HAL View citations (3)
    Also in Papers, arXiv.org (2020) View citations (1)
    See also Journal Article Covariance matrix filtering with bootstrapped hierarchies, PLOS ONE, Public Library of Science (2021) View citations (5) (2021)
19. Deep Prediction Of Investor Interest: a Supervised Clustering Approach
    Post-Print, HAL
    Also in Papers, arXiv.org (2021)
20. Financial factors selection with knockoffs: fund replication, explanatory and prediction networks
    Papers, arXiv.org
    Also in Post-Print, HAL (2021)
    See also Journal Article Financial factors selection with knockoffs: Fund replication, explanatory and prediction networks, Physica A: Statistical Mechanics and its Applications, Elsevier (2021) (2021)
21. Nonparametric sign prediction of high-dimensional correlation matrix coefficients
    Post-Print, HAL
    Also in Papers, arXiv.org (2020)

2020

22. Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors
    Post-Print, HAL
    See also Journal Article Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors, Journal of Economic Interaction and Coordination, Springer (2021) (2021)
23. On the origins of extreme wealth inequality in the Talent vs Luck Model
    Post-Print, HAL View citations (1)
24. The market nanostructure origin of asset price time reversal asymmetry
    Papers, arXiv.org View citations (3)
    Also in Post-Print, HAL (2018)
    See also Journal Article The market nanostructure origin of asset price time reversal asymmetry, Quantitative Finance, Taylor & Francis Journals (2021) View citations (2) (2021)

2019

25. Large large-trader activity weakens the long memory of limit order markets
    Post-Print, HAL
    Also in Papers, arXiv.org (2018)
26. Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions
    Post-Print, HAL View citations (1)
    Also in Papers, arXiv.org (2018) View citations (1)

2018

27. Dynamical regularities of US equities opening and closing auctions
    Papers, arXiv.org View citations (5)
    Also in Post-Print, HAL (2018) View citations (4)
28. Statistically validated lead-lag networks and inventory prediction in the foreign exchange market
    Papers, arXiv.org View citations (11)
    Also in Post-Print, HAL (2018) View citations (4)
29. Testing the causality of Hawkes processes with time reversal
    Post-Print, HAL View citations (1)
    Also in Papers, arXiv.org (2017)

2017

30. Do investors trade too much? A laboratory experiment
    Post-Print, HAL View citations (10)
    Also in Papers, arXiv.org (2015)
    See also Journal Article Do investors trade too much? A laboratory experiment, Journal of Economic Behavior & Organization, Elsevier (2017) View citations (9) (2017)
31. Sharper asset ranking from total drawdown durations
    Papers, arXiv.org View citations (1)
    Also in Post-Print, HAL (2017)
    See also Journal Article Sharper asset ranking from total drawdown durations, Applied Mathematical Finance, Taylor & Francis Journals (2017) View citations (1) (2017)
32. Why have asset price properties changed so little in 200 years
    Post-Print, HAL View citations (3)
    Also in Papers, arXiv.org (2016) View citations (5)
33. Wisdom of the institutional crowd
    Working Papers, HAL
    Also in Papers, arXiv.org (2017)

2016

34. Regrets, learning and wisdom
    Post-Print, HAL
    Also in Papers, arXiv.org (2016)
35. Statistically validated network of portfolio overlaps and systemic risk
    Post-Print, HAL View citations (30)
    Also in Papers, arXiv.org (2016) View citations (33)
36. The limits of statistical significance of Hawkes processes fitted to financial data
    Post-Print, HAL View citations (13)
    Also in Papers, arXiv.org (2015) View citations (4)
    See also Journal Article The limits of statistical significance of Hawkes processes fitted to financial data, Quantitative Finance, Taylor & Francis Journals (2016) View citations (14) (2016)

2015

37. Do Google Trend data contain more predictability than price returns?
    Post-Print, HAL View citations (1)
    Also in Papers, arXiv.org (2014) View citations (5)
38. One- and two-sample nonparametric tests for the signal-to-noise ratio based on record statistics
    Papers, arXiv.org View citations (1)
39. Statistical mechanics of competitive resource allocation using agent-based models
    Post-Print, HAL View citations (24)
    Also in Papers, arXiv.org (2014) View citations (1)
40. Sudden Trust Collapse in Networked Societies
    Papers, arXiv.org View citations (5)
    Also in Post-Print, HAL (2015) View citations (5)
    See also Journal Article Sudden trust collapse in networked societies, The European Physical Journal B: Condensed Matter and Complex Systems, Springer (2015) View citations (6) (2015)

2014

41. Predicting financial markets with Google Trends and not so random keywords
    Papers, arXiv.org View citations (2)
    Also in Working Papers, HAL (2013) View citations (9)

2012

42. Baldovin-Stella stochastic volatility process and Wiener process mixtures
    Post-Print, HAL View citations (5)
    See also Journal Article Baldovin-Stella stochastic volatility process and Wiener process mixtures, The European Physical Journal B: Condensed Matter and Complex Systems, Springer (2012) View citations (6) (2012)

2010

43. Prediction accuracy and sloppiness of log-periodic functions
    Papers, arXiv.org View citations (1)
    See also Journal Article Prediction accuracy and sloppiness of log-periodic functions, Quantitative Finance, Taylor & Francis Journals (2013) View citations (17) (2013)
44. The tick-by-tick dynamical consistency of price impact in limit order books
    Papers, arXiv.org View citations (1)
    See also Journal Article The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books, Applied Mathematical Finance, Taylor & Francis Journals (2011) (2011)
45. Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior
    Papers, arXiv.org View citations (13)

2009

46. The Universal Shape of Economic Recession and Recovery after a Shock
    Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (6)
    Also in Papers, arXiv.org (2009) View citations (7)
    See also Journal Article The universal shape of economic recession and recovery after a shock, Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel) (2009) View citations (7) (2009)
47. The Ups and Downs of Modeling Financial Time Series with Wiener Process Mixtures
    Papers, arXiv.org View citations (1)

2008

48. Emergence of product differentiation from consumer heterogeneity and asymmetric information
    Papers, arXiv.org View citations (4)
    See also Journal Article Emergence of product differentiation from consumer heterogeneity and asymmetric information, The European Physical Journal B: Condensed Matter and Complex Systems, Springer (2008) View citations (4) (2008)
49. Taking a shower in Youth Hostels: risks and delights of heterogeneity
    Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE)
50. The ups and downs of the renormalization group applied to financial time series
    MPRA Paper, University Library of Munich, Germany View citations (1)

2007

51. Feedback and efficiency in limit order markets
    Papers, arXiv.org
    See also Journal Article Feedback and efficiency in limit order markets, Physica A: Statistical Mechanics and its Applications, Elsevier (2008) (2008)

2006

52. News and price returns from threshold behaviour and vice-versa: exact solution of a simple agent-based market model
    Papers, arXiv.org
53. Optimal approximations of power-laws with exponentials
    Papers, arXiv.org View citations (1)
54. The demise of constant price impact functions and single-time step models of speculation
    Papers, arXiv.org
    See also Journal Article The demise of constant price impact functions and single-time step models of speculation, Physica A: Statistical Mechanics and its Applications, Elsevier (2007) View citations (1) (2007)

2005

55. Inter-pattern speculation: beyond minority, majority and $-games
    Finance, University Library of Munich, Germany View citations (4)
    See also Journal Article Inter-pattern speculation: Beyond minority, majority and $-games, Journal of Economic Dynamics and Control, Elsevier (2008) View citations (11) (2008)

2004

56. Price return auto-correlation and predictability in agent-based models of financial markets
    Papers, arXiv.org View citations (1)
    See also Journal Article Price return autocorrelation and predictability in agent-based models of financial markets, Quantitative Finance, Taylor & Francis Journals (2005) View citations (5) (2005)
57. Shedding light on El Farol
    Game Theory and Information, University Library of Munich, Germany View citations (11)
    See also Journal Article Shedding light on El Farol, Physica A: Statistical Mechanics and its Applications, Elsevier (2004) View citations (12) (2004)

2002

58. Criticality and finite size effects in a simple realistic model of stock market
    Papers, arXiv.org View citations (11)
59. Exact Hurst exponent and crossover behavior in a limit order market model
    Papers, arXiv.org View citations (6)
    See also Journal Article Exact Hurst exponent and crossover behavior in a limit order market model, Physica A: Statistical Mechanics and its Applications, Elsevier (2002) View citations (5) (2002)
60. Limit order market analysis and modelling: on an universal cause for over-diffusive prices
    Papers, arXiv.org View citations (1)
    See also Journal Article Limit order market analysis and modelling: on a universal cause for over-diffusive prices, Physica A: Statistical Mechanics and its Applications, Elsevier (2003) View citations (4) (2003)

2001

61. Analyzing and modelling 1+1d markets
    Papers, arXiv.org View citations (37)
    See also Journal Article Analyzing and modeling 1+1d markets, Physica A: Statistical Mechanics and its Applications, Elsevier (2001) View citations (32) (2001)
62. Minority Games and stylized facts
    Papers, arXiv.org View citations (32)
    See also Journal Article Minority games and stylized facts, Physica A: Statistical Mechanics and its Applications, Elsevier (2001) View citations (54) (2001)
63. Stylized facts of financial markets and market crashes in Minority Games
    Papers, arXiv.org View citations (55)
    See also Journal Article Stylized facts of financial markets and market crashes in Minority Games, Physica A: Statistical Mechanics and its Applications, Elsevier (2001) View citations (53) (2001)

2000

64. Comment on: Thermal model for Adaptive Competition in a Market
    Papers, arXiv.org View citations (1)
65. From Minority Games to real markets
    Papers, arXiv.org View citations (13)
    See also Journal Article From Minority Games to real markets, Quantitative Finance, Taylor & Francis Journals (2001) View citations (36) (2001)
66. Trading behavior and excess volatility in toy markets
    Papers, arXiv.org View citations (1)
    See also Journal Article TRADING BEHAVIOR AND EXCESS VOLATILITY IN TOY MARKETS, Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd. (2001) View citations (7) (2001)

1999

67. Modeling Market Mechanism with Minority Game
    Papers, arXiv.org View citations (12)
    See also Journal Article Modeling market mechanism with minority game, Physica A: Statistical Mechanics and its Applications, Elsevier (2000) View citations (41) (2000)

Journal Articles

2024

1. Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS
   Quantitative Finance, 2024, 24, (9), 1227-1234
   See also Working Paper Covariance matrix filtering and portfolio optimisation: the Average Oracle vs Non-Linear Shrinkage and all the variants of DCC-NLS, Working Papers (2023) (2023)
2. Equity auction dynamics: latent liquidity models with activity acceleration
   Quantitative Finance, 2024, 24, (10), 1381-1398
   See also Working Paper Equity auction dynamics: latent liquidity models with activity acceleration, Papers (2024) (2024)
3. Multi-Timescale Recurrent Neural Networks Beat Rough Volatility for Intraday Volatility Prediction
   Risks, 2024, 12, (6), 1-10
4. When is cross impact relevant?
   Quantitative Finance, 2024, 24, (2), 265-279 View citations (1)
   See also Working Paper When is cross impact relevant?, Post-Print (2024) View citations (1) (2024)

2023

5. Dissecting the Explanatory Power of ESG Features on Equity Returns by Sector, Capitalization, and Year with Interpretable Machine Learning
   JRFM, 2023, 16, (3), 1-22 View citations (2)
   See also Working Paper Dissecting the explanatory power of ESG features on equity returns by sector, capitalization, and year with interpretable machine learning, Post-Print (2023) View citations (2) (2023)
6. Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization
   Finance Research Letters, 2023, 52, (C) View citations (1)
   See also Working Paper Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimisation, Papers (2022) (2022)

2022

7. Reactive global minimum variance portfolios with k-BAHC covariance cleaning
   The European Journal of Finance, 2022, 28, (13-15), 1344-1360
   See also Working Paper Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning, Papers (2023) View citations (1) (2023)

2021

8. Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors
   Journal of Economic Interaction and Coordination, 2021, 16, (1), 153-171
   See also Working Paper Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors, Post-Print (2020) (2020)
9. Covariance matrix filtering with bootstrapped hierarchies
   PLOS ONE, 2021, 16, (1), 1-13 View citations (5)
   See also Working Paper Covariance matrix filtering with bootstrapped hierarchies, Post-Print (2021) View citations (3) (2021)
10. Financial factors selection with knockoffs: Fund replication, explanatory and prediction networks
    Physica A: Statistical Mechanics and its Applications, 2021, 580, (C)
    See also Working Paper Financial factors selection with knockoffs: fund replication, explanatory and prediction networks, Papers (2021) (2021)
11. The market nanostructure origin of asset price time reversal asymmetry
    Quantitative Finance, 2021, 21, (2), 295-304 View citations (2)
    See also Working Paper The market nanostructure origin of asset price time reversal asymmetry, Papers (2020) View citations (3) (2020)

2020

12. THE ORIGINS OF EXTREME WEALTH INEQUALITY IN THE TALENT VERSUS LUCK MODEL
    Advances in Complex Systems (ACS), 2020, 23, (02), 1-17 View citations (2)

2018

13. Realistic simulation of financial markets: analyzing market behaviors by the third mode of science
    Journal of Economic Interaction and Coordination, 2018, 13, (1), 195-196

2017

14. Do investors trade too much? A laboratory experiment
    Journal of Economic Behavior & Organization, 2017, 140, (C), 18-34 View citations (9)
    See also Working Paper Do investors trade too much? A laboratory experiment, Post-Print (2017) View citations (10) (2017)
15. Sharper asset ranking from total drawdown durations
    Applied Mathematical Finance, 2017, 24, (1), 1-22 View citations (1)
    See also Working Paper Sharper asset ranking from total drawdown durations, Papers (2017) View citations (1) (2017)

2016

16. The limits of statistical significance of Hawkes processes fitted to financial data
    Quantitative Finance, 2016, 16, (1), 1-11 View citations (14)
    See also Working Paper The limits of statistical significance of Hawkes processes fitted to financial data, Post-Print (2016) View citations (13) (2016)

2015

17. Sudden trust collapse in networked societies
    The European Physical Journal B: Condensed Matter and Complex Systems, 2015, 88, (3), 1-11 View citations (6)
    See also Working Paper Sudden Trust Collapse in Networked Societies, Papers (2015) View citations (5) (2015)

2013

18. Prediction accuracy and sloppiness of log-periodic functions
    Quantitative Finance, 2013, 13, (2), 275-280 View citations (17)
    See also Working Paper Prediction accuracy and sloppiness of log-periodic functions, Papers (2010) View citations (1) (2010)

2012

19. Baldovin-Stella stochastic volatility process and Wiener process mixtures
    The European Physical Journal B: Condensed Matter and Complex Systems, 2012, 85, (8), 1-12 View citations (6)
    See also Working Paper Baldovin-Stella stochastic volatility process and Wiener process mixtures, Post-Print (2012) View citations (5) (2012)

2011

20. The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books
    Applied Mathematical Finance, 2011, 18, (3), 189-205
    See also Working Paper The tick-by-tick dynamical consistency of price impact in limit order books, Papers (2010) View citations (1) (2010)

2009

21. Structure-preserving desynchronization of minority games
    The European Physical Journal B: Condensed Matter and Complex Systems, 2009, 71, (4), 573-577 View citations (1)
22. The universal shape of economic recession and recovery after a shock
    Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2009, 3, 1-24 View citations (7)
    See also Working Paper The Universal Shape of Economic Recession and Recovery after a Shock, Economics Discussion Papers (2009) View citations (6) (2009)

2008

23. Emergence of product differentiation from consumer heterogeneity and asymmetric information
    The European Physical Journal B: Condensed Matter and Complex Systems, 2008, 64, (2), 293-300 View citations (4)
    See also Working Paper Emergence of product differentiation from consumer heterogeneity and asymmetric information, Papers (2008) View citations (4) (2008)
24. Feedback and efficiency in limit order markets
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (15), 3831-3836
    See also Working Paper Feedback and efficiency in limit order markets, Papers (2007) (2007)
25. Inter-pattern speculation: Beyond minority, majority and $-games
    Journal of Economic Dynamics and Control, 2008, 32, (1), 85-100 View citations (11)
    See also Working Paper Inter-pattern speculation: beyond minority, majority and $-games, Finance (2005) View citations (4) (2005)

2007

26. Optimal approximations of power laws with exponentials: application to volatility models with long memory
    Quantitative Finance, 2007, 7, (6), 585-589 View citations (7)
27. The demise of constant price impact functions and single-time step models of speculation
    Physica A: Statistical Mechanics and its Applications, 2007, 382, (1), 29-35 View citations (1)
    See also Working Paper The demise of constant price impact functions and single-time step models of speculation, Papers (2006) (2006)

2006

28. Coolen, A.C.C.: The Mathematical Theory of Minority Games. Statistical Mechanics of Interacting Agents
    Journal of Economics, 2006, 88, (3), 311-314 View citations (2)
29. Minority games with heterogeneous timescales
    Physica A: Statistical Mechanics and its Applications, 2006, 365, (2), 529-542 View citations (6)

2005

30. Price return autocorrelation and predictability in agent-based models of financial markets
    Quantitative Finance, 2005, 5, (6), 569-576 View citations (5)
    See also Working Paper Price return auto-correlation and predictability in agent-based models of financial markets, Papers (2004) View citations (1) (2004)

2004

31. Minority mechanisms in models of agents learning collectively a resource level
    Physica A: Statistical Mechanics and its Applications, 2004, 344, (1), 24-29 View citations (1)
32. Shedding light on El Farol
    Physica A: Statistical Mechanics and its Applications, 2004, 332, (C), 469-482 View citations (12)
    See also Working Paper Shedding light on El Farol, Game Theory and Information (2004) View citations (11) (2004)
33. Stylized facts in minority games with memory: a new challenge
    Physica A: Statistical Mechanics and its Applications, 2004, 338, (1), 143-150 View citations (6)

2003

34. Limit order market analysis and modelling: on a universal cause for over-diffusive prices
    Physica A: Statistical Mechanics and its Applications, 2003, 324, (1), 141-145 View citations (4)
    See also Working Paper Limit order market analysis and modelling: on an universal cause for over-diffusive prices, Papers (2002) View citations (1) (2002)
35. Non-constant rates and over-diffusive prices in a simple model of limit order markets
    Quantitative Finance, 2003, 3, (3), 155-162 View citations (14)

2002

36. Exact Hurst exponent and crossover behavior in a limit order market model
    Physica A: Statistical Mechanics and its Applications, 2002, 316, (1), 430-440 View citations (5)
    See also Working Paper Exact Hurst exponent and crossover behavior in a limit order market model, Papers (2002) View citations (6) (2002)

2001

37. Analyzing and modeling 1+1d markets
    Physica A: Statistical Mechanics and its Applications, 2001, 300, (1), 285-299 View citations (32)
    See also Working Paper Analyzing and modelling 1+1d markets, Papers (2001) View citations (37) (2001)
38. From Minority Games to real markets
    Quantitative Finance, 2001, 1, (1), 168-176 View citations (36)
    See also Working Paper From Minority Games to real markets, Papers (2000) View citations (13) (2000)
39. Minority games and stylized facts
    Physica A: Statistical Mechanics and its Applications, 2001, 299, (1), 228-233 View citations (54)
    See also Working Paper Minority Games and stylized facts, Papers (2001) View citations (32) (2001)
40. Stylized facts of financial markets and market crashes in Minority Games
    Physica A: Statistical Mechanics and its Applications, 2001, 294, (3), 514-524 View citations (53)
    See also Working Paper Stylized facts of financial markets and market crashes in Minority Games, Papers (2001) View citations (55) (2001)
41. TRADING BEHAVIOR AND EXCESS VOLATILITY IN TOY MARKETS
    Advances in Complex Systems (ACS), 2001, 04, (01), 3-17 View citations (7)
    See also Working Paper Trading behavior and excess volatility in toy markets, Papers (2000) View citations (1) (2000)

2000

42. Exact solution of a modified El Farol's bar problem: Efficiency and the role of market impact
    Physica A: Statistical Mechanics and its Applications, 2000, 280, (3), 522-553 View citations (13)
43. Modeling market mechanism with minority game
    Physica A: Statistical Mechanics and its Applications, 2000, 276, (1), 284-315 View citations (41)
    See also Working Paper Modeling Market Mechanism with Minority Game, Papers (1999) View citations (12) (1999)
44. PHASE TRANSITION IN A TOY MARKET
    International Journal of Theoretical and Applied Finance (IJTAF), 2000, 03, (03), 451-454

1998

45. On the minority game: Analytical and numerical studies
    Physica A: Statistical Mechanics and its Applications, 1998, 256, (3), 514-532 View citations (79)

1997

46. Emergence of cooperation and organization in an evolutionary game
    Physica A: Statistical Mechanics and its Applications, 1997, 246, (3), 407-418 View citations (229)

Books

2013

1. Minority Games: Interacting agents in financial markets
   OUP Catalogue, Oxford University Press View citations (14)
   Also in OUP Catalogue, Oxford University Press (2004) View citations (53)