9 citations · 36 across the 11 of their papers we have counts for
4 papers · 1 filter
Financial factors selection with knockoffs: fund replication, explanatory and prediction networks
Damien Challet, Christian Bongiorno, Guillaume Pelletier
We apply the knockoff procedure to factor selection in finance. By building fake but realistic factors, this procedure makes it possible to control the fraction of false discovery…
The market nanostructure origin of asset price time reversal asymmetry
Marcus Cordi, Damien Challet, Serge Kassibrakis
We introduce a framework to infer lead-lag networks between the states of elements of complex systems, determined at different timescales. As such networks encode the causal struct…
Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions
Damien Challet
We report statistical regularities of the opening and closing auctions of French equities, focusing on the diffusive properties of the indicative auction price. Two mechanisms are…
Large large-trader activity weakens the long memory of limit order markets
Kevin Primicerio, Damien Challet
Using more than 6.7 billions of trades, we explore how the tick-by-tick dynamics of limit order books depends on the aggregate actions of large investment funds on a much larger (q…