Vladimir Filimonov

Swiss Federal Institute of Technology Zurich (ETH Zurich)

Scheuchzerstrasse 7, SEC F3

Zurich, CH-8092

Switzerland

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 15,433

SSRN RANKINGS

Top 15,433

in Total Papers Downloads

5,963

SSRN CITATIONS
Rank 15,076

SSRN RANKINGS

Top 15,076

in Total Papers Citations

79

CROSSREF CITATIONS

16

Scholarly Papers (10)

1.

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
Risks-X, Southern University of Science and Technology (SUSTech), ETH Zürich, ETH ZürichGuangdong University of Foreign Studies, ETH Zürich, Swiss Federal Institute of Technology Zurich (ETH Zurich) and ETH Zürich
Downloads 1,919 (16,040)
Citation 10

Abstract:

Loading...

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

2.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 1,482 (23,959)
Citation 13

Abstract:

Loading...

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

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 750 (62,834)
Citation 10

Abstract:

Loading...

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

4.
Downloads 396 (137,857)
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), Risks-X, Southern University of Science and Technology (SUSTech) and Swiss Federal Institute of Technology Zurich (ETH Zurich)
Downloads 282 (197,620)
Citation 1

Abstract:

Loading...

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), Risks-X, Southern University of Science and Technology (SUSTech) and Swiss Federal Institute of Technology Zurich (ETH Zurich)
Downloads 114 (441,545)
Citation 2

Abstract:

Loading...

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 308 (181,220)
Citation 4

Abstract:

Loading...

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

6.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 255 (219,876)
Citation 23

Abstract:

Loading...

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

7.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 232 (241,125)
Citation 4

Abstract:

Loading...

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

8.

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), Risks-X, Southern University of Science and Technology (SUSTech), Swiss Federal Institute of Technology Zurich (ETH Zurich) and University of Pisa - Department of Economics
Downloads 215 (259,139)

Abstract:

Loading...

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

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 207 (268,418)
Citation 5

Abstract:

Loading...

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

10.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 199 (278,189)
Citation 13

Abstract:

Loading...

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