Vladimir Filimonov

Swiss Federal Institute of Technology Zurich (ETH Zurich)

Scheuchzerstrasse 7, SEC F3

Zurich, CH-8092

Switzerland

SCHOLARLY PAPERS

10

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4,331

SSRN CITATIONS
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Top 21,397

in Total Papers Citations

26

CROSSREF CITATIONS

14

Scholarly Papers (10)

1.

Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets

Number of pages: 56 Posted: 23 Mar 2013
Swiss Federal Institute of Technology Zurich (ETH Zurich), United Nations - Conference on Trade and Development (UNCTAD), UNCTAD - United Nations Conference on Trade and Development and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 1,401 (14,171)
Citation 12

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Commodities, endogeneity, reflexivity, branching processes, bubble, oil, regime shift, self-excitation

2.

Real-Time Prediction and Post-Mortem Analysis of the Shanghai 2015 Stock Market Bubble and Crash

Swiss Finance Institute Research Paper No. 15-31
Number of pages: 16 Posted: 22 Nov 2015
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich, ETH Zürich, ETH Zürich, Swiss Federal Institute of Technology Zurich (ETH Zurich) and ETH Zürich
Downloads 914 (26,810)
Citation 6

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Financial bubbles, Crashes, Probabilistic forecast, Johansen-Ledoit-Sornette model, Log-periodic power law singularity (LPPLS), Advanced warning, Chinese bubbles, Financial crisis observatory

3.

Quantifying Reflexivity in Financial Markets: Towards a Prediction of Flash Crashes

Swiss Finance Institute Research Paper No. 12-02
Number of pages: 24 Posted: 06 Feb 2012
Vladimir Filimonov and Didier Sornette
Swiss Federal Institute of Technology Zurich (ETH Zurich) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 641 (43,680)
Citation 6

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complex systems, econophysics, exogenous- versus endogenous, high-frequency trading, criticality, trading activity, volume

4.
Downloads 307 (106,095)
Citation 1

Most Efficient Homogeneous Volatility Estimators

Swiss Finance Institute Research Paper No. 09-35
Number of pages: 21 Posted: 09 Sep 2009
Alexander I. Saichev, Didier Sornette and Vladimir Filimonov
ETH Zurich - D-MTEC (Deceased), ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and Swiss Federal Institute of Technology Zurich (ETH Zurich)
Downloads 222 (147,647)
Citation 2

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Variance and volatility estimators, efficiency, homogeneous functions, Schwarz inequality, extremes of Wiener processes

Most Efficient Homogeneous Volatility Estimators

CCSS Working Paper Series No. CCSS-09-007
Number of pages: 20 Posted: 27 Apr 2010
Alexander I. Saichev, Didier Sornette and Vladimir Filimonov
ETH Zurich - D-MTEC (Deceased), ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and Swiss Federal Institute of Technology Zurich (ETH Zurich)
Downloads 85 (317,763)
Citation 2

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Variance and volatility estimators, efficiency, homogeneous functions, Schwarz inequality, extremes of Wiener processes

5.

Power Law Scaling and 'Dragon-Kings' in Distributions of Intraday Financial Drawdowns

Swiss Finance Institute Research Paper No. 14-48
Number of pages: 33 Posted: 20 Jul 2014 Last Revised: 07 Apr 2015
Vladimir Filimonov and Didier Sornette
Swiss Federal Institute of Technology Zurich (ETH Zurich) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 247 (133,352)
Citation 3

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Extreme events, drawdowns, power law distribution, tail dependence, Dragon-King events, financial markets, high-frequency data

6.

Apparent Criticality and Calibration Issues in the Hawkes Self-Excited Point Process Model: Application to High-Frequency Financial Data

Swiss Finance Institute Research Paper No. 13-60
Number of pages: 39 Posted: 24 Dec 2013
Vladimir Filimonov and Didier Sornette
Swiss Federal Institute of Technology Zurich (ETH Zurich) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 171 (187,806)
Citation 11

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Hawkes process, Poisson process, endogeneity, reflexivity, branching ratio, outliers, memory kernel, high-frequency data, criticality, statistical biases, power laws, regime shifts

7.

Homogeneous Volatility Bridge Estimators

Econometrics Journal, Vol. 10, pp. 1–25, 2010, Swiss Finance Institute Research Paper No. 09-46
Number of pages: 28 Posted: 20 Dec 2009
ETH Zurich - D-MTEC (Deceased), ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), Swiss Federal Institute of Technology Zurich (ETH Zurich) and University of Pisa - Department of Economics
Downloads 171 (187,806)

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volatility, variance, estimators, efficiency, Wiener processes, homogeneous functions

8.

Estimation of the Hawkes Process with Renewal Immigration Using the EM Algorithm

Swiss Finance Institute Research Paper No. 14-53
Number of pages: 37 Posted: 08 Aug 2014 Last Revised: 08 Nov 2014
Spencer Wheatley, Vladimir Filimonov and Didier Sornette
ETH Zürich, Swiss Federal Institute of Technology Zurich (ETH Zurich) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 168 (190,743)
Citation 2

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Expectation-maximization algorithm; Branching process models; Renewal Cluster process models; Point process models; non-parametric estimation; Hawkes process; immigration; branching structure.

9.

Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles

Swiss Finance Institute Research Paper No. 16-12
Number of pages: 40 Posted: 01 Mar 2016
Vladimir Filimonov, Guilherme Demos and Didier Sornette
Swiss Federal Institute of Technology Zurich (ETH Zurich), ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 157 (202,085)
Citation 2

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financial bubbles; crashes; inference; nuisance parameters; modified profile likelihood; nonlinear regression; JLS model; log-periodic power law; finite time singularity: nonlinear optimization

10.

A Stable and Robust Calibration Scheme of the Log-Periodic Power Law Model

RC Working Paper No. 11-002
Number of pages: 20 Posted: 19 Dec 2012
Vladimir Filimonov and Didier Sornette
Swiss Federal Institute of Technology Zurich (ETH Zurich) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 154 (205,343)
Citation 8

Abstract:

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JLS model, financial bubbles, crashes, log-periodic power law, fit method, optimization