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Sharper asset ranking from total drawdown durations
Challet, Damien - In: Applied mathematical finance 24 (2017) 1/2, pp. 1-22
Persistent link: https://www.econbiz.de/10011746991
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A robust measure of investor contrarian behaviour
Challet, Damien; Morton de Lachapelle, David - In: Econophysics of systemic risk and network dynamics : …, (pp. 105-118). 2013
Persistent link: https://www.econbiz.de/10010211863
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Large Large-trader activity weakens the long memory of limit order markets
Primicerio, Kevin; Challet, Damien - In: Market microstructure and liquidity 4 (2018) 1/2, pp. 1-12
Persistent link: https://www.econbiz.de/10012256411
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Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization
Bongiorno, Christian; Challet, Damien - In: Finance research letters 52 (2023), pp. 1-5
Persistent link: https://www.econbiz.de/10014472232
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Distribution of wealth and incomplete markets : theory and empirical evidence
Fiaschi, Davide; Marsili, Matteo - In: Journal of economic behavior & organization : JEBO 81 (2012) 1, pp. 243-267
Persistent link: https://www.econbiz.de/10009505566
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Excess covariance and dynamic instability in a multi-asset model
Anufriev, Mikhail; Bottazzi, Giulio; Marsili, Matteo; … - In: Journal of economic dynamics & control 36 (2012) 8, pp. 1142-1161
Persistent link: https://www.econbiz.de/10009634273