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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3,891

CITATIONS
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Top 39,922

in Total Papers Citations

4

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 1,363 (12,565)

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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 Zurich, ETH Zurich, ETH Zürich, Swiss Federal Institute of Technology Zurich (ETH Zurich) and ETH Zurich
Downloads 674 (35,232)

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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 611 (40,113)

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

4.
Downloads 291 ( 98,116)
Citation 2

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 209 (136,964)
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 82 (286,719)
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 219 (131,372)

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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 161 (173,742)

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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 159 (175,634)
Citation 2

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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 Zurich, Swiss Federal Institute of Technology Zurich (ETH Zurich) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 147 (187,461)

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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 Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 143 (191,755)

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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 123 (216,052)

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