9 citations · 36 across the 11 of their papers we have counts for
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physics.soc-ph2006★ 4 cited
The demise of constant price impact functions and single-time step models of speculation
Damien Challet
Constant and symmetric price impact functions, most commonly used in agent-based market modelling, are shown to give rise to paradoxical and inconsistent outcomes in the simplest c…
physics.data-an2006★ 1 cited
Optimal approximations of power-laws with exponentials
Thierry Bochud, Damien Challet
We propose an explicit recursive method to approximate a power-law with a finite sum of weighted exponentials. Applications to moving averages with long memory are discussed in rel…