Didier Sornette

ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)

Professor

Scheuchzerstrasse 7

Zurich, ZURICH CH-8092

Switzerland

http://www.er.ethz.ch/

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

Southern University of Science and Technology

1088 Xueyuan Avenue

Shenzhen, Guangdong 518055

China

Tokyo Institute of Technology

2-12-1 O-okayama, Meguro-ku

Tokyo 152-8550, 52-8552

Japan

  • ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)

    • Email
    • Tel: 41446328917
    • Fax: 41446321914
SCHOLARLY PAPERS

200

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328

CROSSREF CITATIONS

393

Scholarly Papers (200)

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1.

The Acceleration Effect and Gamma Factor in Asset Pricing

Swiss Finance Institute Research Paper No. 15-30
Number of pages: 25 Posted: 21 Aug 2015
Diego Ardila, Zalàn Forrò and Didier Sornette
ETH Zürich, Independent and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 4,073 (3,146)
Citation 3

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Asset pricing, momentum, positive feedbacks, acceleration, investment strategies

2.

Can We Use Volatility to Diagnose Financial Bubbles? Lessons from 40 Historical Bubbles

Quantitative Finance and Economics, 2 (1), 486-594 (2018), Swiss Finance Institute Research Paper No. 17-27
Number of pages: 127 Posted: 24 Jul 2017
Didier Sornette, Peter Cauwels and Georgi Smilyanov
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich and ETH Zurich
Downloads 3,734 (3,648)
Citation 5

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gradual portfolio adjustment, international portfolio allocation, predictable excess returns.

3.

Financial Bubbles, Real Estate Bubbles, Derivative Bubbles, and the Financial and Economic Crisis

Downloads 2,377 ( 7,767)
Citation 8

Financial Bubbles, Real Estate Bubbles, Derivative Bubbles, and the Financial and Economic Crisis

Swiss Finance Institute Research Paper No. 09-15
Number of pages: 54 Posted: 12 Jun 2009
Didier Sornette and Ryan Woodard
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zurich
Downloads 2,024 (9,859)
Citation 6

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Financial crisis, bubbles, real estate, derivatives, out-of-equilibrium, super-exponential, growth, crashes, complex systems

Financial Bubbles, Real Estate Bubbles, Derivative Bubbles, and the Financial and Economic Crisis

Proceedings of APFA7 (Applications of Physics in Financial Analysis), Conference , CCSS Working Paper No. CCSS-09-003
Number of pages: 53 Posted: 27 Apr 2010
Didier Sornette and Ryan Woodard
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zurich
Downloads 353 (110,027)
Citation 12

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Financial crisis, bubbles, real estate bubble, derivatives, super-exponential

4.

Crashes and High Frequency Trading

Swiss Finance Institute Research Paper No. 11-63
Number of pages: 29 Posted: 24 Dec 2011
Didier Sornette and Susanne von der Becke
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zurich
Downloads 2,317 (8,073)
Citation 33

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High-frequency trading, financial crashes, flash crash, liquidity, efficient market hypothesis, market makers, market breakers, herding, financial bubbles, computer trading, algorithmic trading.

5.

Dragon-Kings, Black Swans and the Prediction of Crises

Downloads 2,212 ( 8,678)
Citation 15

Dragon-Kings, Black Swans and the Prediction of Crises

Swiss Finance Institute Research Paper No. 09-36
Number of pages: 21 Posted: 08 Sep 2009
Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 1,873 (11,189)
Citation 40

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outliers,; kings, red dragons, extremes, crisis, catastrophes, bifurcations, power laws, prediction

Dragon-Kings, Black Swans and the Prediction of Crises

CCSS Working Paper No. CCSS-09-005
Number of pages: 20 Posted: 01 May 2010
Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 339 (115,143)
Citation 51

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outliers, kings, red dragons, extremes, crisis, catastrophes, bifurcations, power laws, prediction

6.

The Illusion of the Perpetual Money Machine

Swiss Finance Institute Research Paper No. 12-40
Number of pages: 30 Posted: 21 Dec 2012
Peter Cauwels and Didier Sornette
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 1,894 (11,218)
Citation 3

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economic growth, productivity, financial markets, investments, returns, debt, bubbles, monetary policy

7.

Are Bitcoin Bubbles Predictable? Combining a Generalized Metcalfe's Law and the LPPLS Model

Swiss Finance Institute Research Paper No. 18-22
Number of pages: 22 Posted: 16 Mar 2018 Last Revised: 22 Mar 2018
Spencer Wheatley, Didier Sornette, Tobias Huber, Max Reppen and Robert N. Gantner
ETH Zürich, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich, ETH Zürich and D ONE Solutions AG
Downloads 1,808 (12,069)
Citation 10

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Bitcoin, crypto-currencies, bubble, prediction, Metcalfe law, log-periodic power law singularity, LPPLS, Johansen-Ledoit-Sornette

8.

Financial Bubbles: Mechanisms and Diagnostics

Swiss Finance Institute Research Paper No. 14-28
Number of pages: 26 Posted: 12 Apr 2014
Didier Sornette and Peter Cauwels
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zürich
Downloads 1,635 (14,157)
Citation 11

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systemic crisis, change of regime, financial bubble, bifurcation, instability, precursors, singularity, prediction, super-exponential, log-periodic, hierarchies, positive feedbacks, procyclicality

9.

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

Number of pages: 56 Posted: 23 Mar 2013
Vladimir Filimonov, David Bicchetti, Nicolas Maystre and Didier Sornette
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 1,428 (17,453)
Citation 13

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

10.

Statistical Testing of DeMark Technical Indicators on Commodity Futures

Swiss Finance Institute Research Paper No. 15-56
Number of pages: 27 Posted: 06 Dec 2015 Last Revised: 20 Oct 2017
Marco Lissandrin, Donnacha Daly and Didier Sornette
ETH Zürich, ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 1,360 (18,775)
Citation 2

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Technical Analysis, Back-Testing, Permutation Test, Financial Markets, Commodity Futures, Contract Roll-Over

11.

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
Didier Sornette, Guilherme Demos, Qun Zhang, Qun Zhang, Peter Cauwels, Vladimir Filimonov and Qunzhi Zhang
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich, ETH ZürichGuangdong University of Foreign Studies, ETH Zürich, Swiss Federal Institute of Technology Zurich (ETH Zurich) and ETH Zürich
Downloads 1,344 (19,061)
Citation 10

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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

12.

Testing the Gaussian Copula Hypothesis for Financial Assets Dependences

Quantitative Finance, Vol. 3, pp. 231-250, 2003
Number of pages: 43 Posted: 21 Nov 2001 Last Revised: 07 Apr 2009
Yannick Malevergne and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 1,226 (21,909)
Citation 17

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Copulas, Dependence Modelisation, Risk Management, Tail Dependence

13.

The NASDAQ Crash of April 2000: Yet Another Example of Log-Periodicity in a Speculative Bubble Ending in a Crash

Number of pages: 10 Posted: 09 Jun 2000
Anders Johansen and Didier Sornette
Riso National Laboratory - Wind Energy Department and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 1,195 (22,777)
Citation 16

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14.

The Lehman Brothers Effect and Bankruptcy Cascades

Swiss Finance Institute Research Paper No. 10-06
Number of pages: 33 Posted: 03 Feb 2010
Pawel Sieczka, Didier Sornette and Janusz Holyst
Warsaw University of Technology - Faculty of Physics, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and Warsaw University of Technology - Faculty of Physics
Downloads 1,160 (23,805)
Citation 2

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Network, Cascade, Bankruptcy

15.

Predicting Financial Crashes Using Discrete Scale Invariance

Downloads 1,099 ( 25,751)
Citation 2

Predicting Financial Crashes Using Discrete Scale Invariance

Number of pages: 26 Posted: 28 Apr 2000
Anders Johansen and Didier Sornette
Riso National Laboratory - Wind Energy Department and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 1,099 (25,352)
Citation 2

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Predicting Financial Crashes Using Discrete Scale Invariance

Journal of Risk, Vol. 1, 1999
Posted: 28 Apr 2000
Anders Johansen and Didier Sornette
Riso National Laboratory - Wind Energy Department and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)

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16.

Follow the Money: The Monetary Roots of Bubbles and Crashes

Swiss Finance Institute Research Paper No. 11-60
Number of pages: 32 Posted: 29 Nov 2011
Fulvio Corsi and Didier Sornette
University of Pisa - Department of Economics and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 1,039 (27,906)
Citation 5

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Minskian dynamics, financial bubbles, positive feedback, financial accelerator, generalized FTS-GARCH

17.

Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese Stock Market Bubbles

Downloads 1,017 ( 28,796)
Citation 14

Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese Stock Market Bubbles

Number of pages: 28 Posted: 28 Sep 2009
Zhi-Qiang Jiang, Wei-Xing Zhou, Didier Sornette, Ryan Woodard, Ken Bastiaensen and Peter Cauwels
East China University of Science and Technology (ECUST), East China University of Science and Technology - School of Business, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zurich, BNP Paribas and ETH Zürich
Downloads 767 (41,973)
Citation 17

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stock market crash, financial bubble, Chinese markets, rational expectation bubble, herding, log-periodic power law, Lomb spectral analysis, unit-root test

Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese Stock Market Bubbles

CCSS working Paper No. CCSS-09-008
Number of pages: 30 Posted: 27 Apr 2010
Zhi-Qiang Jiang, Wei-Xing Zhou, Didier Sornette, Ryan Woodard, Ken Bastiaensen and Peter Cauwels
East China University of Science and Technology (ECUST), East China University of Science and Technology - School of Business, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zurich, BNP Paribas and ETH Zürich
Downloads 250 (158,774)
Citation 6

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Stock market crash, financial bubble, Chinese markets, rational expectation bubble, log-periodic power law

18.

A Consistent Model of 'Explosive' Financial Bubbles with Mean-Reversing Residuals

Downloads 1,001 ( 29,450)
Citation 2

A Consistent Model of 'Explosive' Financial Bubbles with Mean-Reversing Residuals

Swiss Finance Institute Research Paper No. 09-14
Number of pages: 35 Posted: 12 Jul 2009
Li Lin, Ruoen Ren and Didier Sornette
China Academy of Financial Research (CAFR), Beihang University (BUAA) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 676 (49,806)

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Rational bubbles, mean reversal, positive feedbacks, finite-time singularity, superexponential growth, Bayesian analysis, log-periodic power law

A Consistent Model of 'Explosive' Financial Bubbles with Mean-Reversing Residuals

CCSS Working Paper No. CCSS-09-002
Number of pages: 34 Posted: 27 Apr 2010
Lin li, Ruoen Ren and Didier Sornette
ETH Zürich, Beihang University (BUAA) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 325 (120,619)
Citation 2

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Rational bubbles, finite-time singularity, super-exponential growth, Bayesian analysis, log-periodic power law

19.

Bubbles Everywhere in Human Affairs

Swiss Finance Institute Research Paper No. 10-16
Number of pages: 24 Posted: 19 May 2010
Monika Gisler and Didier Sornette
ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 988 (29,960)
Citation 7

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social bubbles, innovation, positive feedbacks, financial bubbles, tulip mania, Apollo program

20.

2000-2003 Real Estate Bubble in the UK But Not in the USA

Number of pages: 22 Posted: 15 Apr 2003
Wei-Xing Zhou and Didier Sornette
East China University of Science and Technology - School of Business and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 876 (35,481)
Citation 12

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Real estate, Bubble, Econophysics

21.

Mathematical Structure of Quantum Decision Theory

Advances in Complex Systems, Vol. 13, pp. 659-698, 2010
Number of pages: 40 Posted: 08 Sep 2008 Last Revised: 12 Nov 2010
Vyacheslav I. Yukalov and Didier Sornette
Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 855 (36,770)
Citation 4

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decision theory, quantum theory, Hilbert space, utility theory, emotions, loss aversion, uncertainty aversion, Allais paradox, independence paradox, inversion paradox, Ellsberg paradox, conjunction fallacy, disjunction effect, isolation effect

22.

On Rational Bubbles and Fat Tails

SFB 303 Working Paper No. B-458
Number of pages: 19 Posted: 28 Jul 2000
Thomas Lux and Didier Sornette
University of Kiel - Institute of Economics and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 832 (38,096)
Citation 8

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rational bubbles, random difference equations, multiplicative processes, rational bubbles, random difference equations, multiplicative processes, fat tails.

23.

Boom, Bust, and Bitcoin: Bitcoin-Bubbles As Innovation Accelerators

Swiss Finance Institute Research Paper No. 20-41
Number of pages: 27 Posted: 16 May 2020 Last Revised: 18 May 2020
Tobias Huber and Didier Sornette
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 826 (38,484)
Citation 1

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Bitcoin, Money, Cryptocurrencies, Financial Bubbles, Technological Innovation, Economic Growth, Reflexivity

24.

Inefficiency and predictability in the Brexit Pound market: a natural experiment

Swiss Finance Institute Research Paper No. 17-12, The European Journal of Finance, DOI: 10.1080/1351847X.2020.1805781, pp. 1-21 (2020)
Number of pages: 22 Posted: 29 Mar 2017 Last Revised: 24 Aug 2020
Ke Wu, Ke Wu, Spencer Wheatley and Didier Sornette
ETH Zurich - Department of Management, Technology, and Economics (D-MTEC)Southern University of Science and Technology, ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 775 (42,019)
Citation 5

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Prediction, natural experiment, market failure, efficient market hypothesis

25.

Endogenous Versus Exogenous Crashes in Financial Markets

Number of pages: 34 Posted: 10 Dec 2002
Anders Johansen and Didier Sornette
Riso National Laboratory - Wind Energy Department and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 713 (46,953)
Citation 17

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26.

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 681 (49,974)
Citation 10

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

27.

Identification and Critical Time Forecasting of Real Estate Bubbles in the U.S.A and Switzerland

Swiss Finance Institute Research Paper No. 14-44
Number of pages: 56 Posted: 12 Jul 2014
Diego Ardila, Dorsa Sanadgol, Peter Cauwels and Didier Sornette
ETH Zürich, ETH Zürich, ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 665 (51,529)
Citation 1

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real-estate bubbles, USA and Switzerland, diffusion index, forecasting, log-periodic power law, criticality, positive feedback, sparse partial least squares

28.

Dragon-Kings: Mechanisms, Statistical Methods and Empirical Evidence

RC working paper No. 12-004
Number of pages: 28 Posted: 20 Dec 2012
Didier Sornette and Guy Ouillon
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and Lithophyse
Downloads 657 (52,345)
Citation 5

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extreme events, earthquakes, volcanoes, landlsides, finance, social sciences, geophysics, weather, bubbles, forecast, floods, drawdowns, wealth, epileptic seizures, neurosciences, hydrodynamics, rain, turbulence, storm, hurricane, snow avalanche, rupture, failure, damage, forest fire, evolution, ext

29.

LPPLS Bubble Indicators over Two Centuries of the S&P 500 Index

Swiss Finance Institute Research Paper No. 16-05
Number of pages: 32 Posted: 05 Feb 2016
Qunzhi Zhang, Didier Sornette, Mehmet Balcilar, Rangan Gupta, Zeynel Abidin Ozdemir and Hakan Yetkiner
ETH Zürich, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), Eastern Mediterranean University, University of Pretoria - Department of Economics, Economic Research Forum (ERF) and Izmir University of Economics
Downloads 656 (52,454)
Citation 6

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S&P 500, LPPL method, stock market bubble, forecast, bubble indicators

30.

Significance of Log-Periodic Precursors to Financial Crashes

Downloads 644 ( 53,739)
Citation 9

Significance of Log-Periodic Precursors to Financial Crashes

Number of pages: 38 Posted: 25 Jul 2001
Anders Johansen and Didier Sornette
Riso National Laboratory - Wind Energy Department and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 644 (53,059)
Citation 9

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Significance of Log-Periodic Precursors to Financial Crashes

Posted: 30 Jul 2001
Anders Johansen and Didier Sornette
Riso National Laboratory - Wind Energy Department and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)

Abstract:

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31.

A Simple Mechanism for Financial Bubbles: Time-Varying Momentum Horizon

Swiss Finance Institute Research Paper No. 16-61
Number of pages: 39 Posted: 21 Oct 2016 Last Revised: 18 Jun 2018
Li Lin, Michael Schatz and Didier Sornette
East China University of Science and Technology (ECUST), ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 639 (54,294)
Citation 4

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financial bubbles, momentum, positive feedback, time-horizon, quasi-likelihood, finite-time-singularity

32.

Multivariate Weibull Distributions for Asset Returns: I

Number of pages: 17 Posted: 04 May 2005
Yannick Malevergne and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 620 (56,471)

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Distribution of asset returns, copulas, modified Weibull distribution

33.

Taming Manias: On the Origins, Inevitability, Prediction and Regulation of Bubbles and Crashes

Swiss Finance Institute Research Paper No. 10-34
Number of pages: 25 Posted: 22 Jul 2010
Jeffrey Satinover and Didier Sornette
D-MTEC, Swiss Federal Institute of Technology and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 601 (58,701)

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financial bubbles, positive feedbacks, illusion of control, unintended consequences, dragon-kings, outliers, prediction, systemic instabilities

34.

The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks

Downloads 599 ( 58,950)
Citation 13

The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks

Number of pages: 43 Posted: 04 Jun 2000
Pedro Santa-Clara and Didier Sornette
New University of Lisbon - Nova School of Business and Economics and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 599 (58,256)
Citation 13

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The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks

Posted: 27 Mar 2000
Pedro Santa-Clara and Didier Sornette
New University of Lisbon - Nova School of Business and Economics and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)

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35.

The Holy Grail of Crypto Currencies: Ready to Replace Fiat Money?

Revised version published in the Journal of Economic Issues: Richard Senner & Didier Sornette (2019) The Holy Grail of Crypto Currencies: Ready to Replace Fiat Money?, Journal of Economic Issues, 53:4, 966-1000, DOI: 10.1080/00213624.2019.1664235
Number of pages: 39 Posted: 23 Jun 2018 Last Revised: 15 Feb 2020
Richard Senner and Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 578 (61,604)
Citation 3

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Crypto Currencies, Endogenous Money, Monetarism, Blockchain, Post-Fiat World, Unit Labour Costs, Coordinated Bargaining

36.

Non-Parametric Determination of Real-Time Lag Structure between Two Time Series: The 'Optimal Thermal Causal Path' Method

Number of pages: 37 Posted: 17 Aug 2004
Didier Sornette and Wei-Xing Zhou
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and East China University of Science and Technology - School of Business
Downloads 564 (63,586)
Citation 1

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Econophysics, causality, correlation, thermal average, time series

37.

Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models

Swiss Finance Institute Research Paper No. 14-25
Number of pages: 78 Posted: 07 Apr 2014
Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 561 (64,031)
Citation 10

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order book, Brownian particle, fluctuation-dissipation, dollar-yen

38.

Bitcoin Bubble Trouble

Forthcoming in Wilmott Magazine, 2018, Swiss Finance Institute Research Paper No. 18-24
Number of pages: 17 Posted: 20 Mar 2018 Last Revised: 19 Jun 2018
Jerome L Kreuser and Didier Sornette
ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 557 (64,623)

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bitcoin, financial bubbles, efficient crashes, positive feedback, rational expectation, Kelly

39.

Investigating Extreme Dependences: Concepts and Tools

Number of pages: 46 Posted: 09 Mar 2002
Yannick Malevergne and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 554 (65,063)
Citation 7

Abstract:

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40.

The Sentiment of the Fed

Swiss Finance Institute Research Paper No. 13-01
Number of pages: 38 Posted: 02 Feb 2013
Michel Fuksa and Didier Sornette
AGH University of Science and Technology and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 552 (65,377)

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economics, Federal Reserve, Federal Open Market Committee, Beige Book, word sentiment dictionary, prediction

41.

Forecasting Financial Crashes: A Dynamic Risk Management Approach

Swiss Finance Institute Research Paper No. 20-103
Number of pages: 18 Posted: 15 Dec 2020 Last Revised: 04 Jan 2021
J-C Gerlach, Dongshuai Zhao CFA and Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 535 (67,967)
Citation 2

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Financial Bubbles, Crashes, Forecasting, LPPLS Model, Dynamic Risk Management, Confidence Indicator

42.

On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-Scale Indicators

Quantitative Finance, Forthcoming.
Number of pages: 18 Posted: 28 Nov 2017 Last Revised: 23 Sep 2018
Riza Demirer, Guilherme Demos, Rangan Gupta and Didier Sornette
Southern Illinois University Edwardsville - Department of Economics & Finance, ETH Zürich, University of Pretoria - Department of Economics and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 533 (68,299)
Citation 1

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Financial bubble indicators, LPPL method, Markov switching, Predictability, Short interest

43.

Dissection of Bitcoin's Multiscale Bubble History

Swiss Finance Institute Research Paper No. 18-30
Number of pages: 38 Posted: 18 Apr 2018 Last Revised: 30 Apr 2018
J-C Gerlach, Guilherme Demos and Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH-Zürich - Department of Management Technology and Economics (D-MTEC) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 525 (69,608)
Citation 8

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Cryptocurrency, Bitcoin, k-Means Clustering, Multiscale Bubble Indicator, Log-Periodic Power Law Singularity Analysis, Forecasting, Time Series Analysis, Market Crashes

44.

Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous Markets

Number of pages: 66 Posted: 09 Aug 2002
Yannick Malevergne and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 524 (69,775)
Citation 8

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45.

Large Stock Market Price Drawdowns are Outliers

Downloads 522 ( 70,090)

Large Stock Market Price Drawdowns are Outliers

Number of pages: 45 Posted: 28 Dec 2000
Anders Johansen and Didier Sornette
Riso National Laboratory - Wind Energy Department and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 522 (69,343)
Citation 9

Abstract:

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Crashes, large market movements

Large Stock Market Price Drawdowns are Outliers

Journal of Risk, Forthcoming
Posted: 08 Oct 2001
Anders Johansen and Didier Sornette
Riso National Laboratory - Wind Energy Department and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)

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Market Crashes, Outliers, Drawdowns

46.

Reverse Engineering Financial Markets with Majority and Minority Games Using Genetic Algorithms

Swiss Finance Institute Research Paper No. 10-08
Number of pages: 17 Posted: 20 Feb 2010
Judith Wiesinger, Didier Sornette and Jeffrey Satinover
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and affiliation not provided to SSRN
Downloads 516 (71,278)
Citation 2

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reverse-engineering, financial markets, agent-based models, genetic algorithms, forecast, trading strategies, market regimes

47.

High-Order Moments and Cumulants of Multivariate Weibull Asset Returns Distributions: Analytical Theory and Empirical Tests: Ii

Number of pages: 10 Posted: 04 May 2005
Yannick Malevergne and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 515 (71,278)

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Distribution of asset returns, copulas, modified Weibull distribution

48.

Evidence of Fueling of the 2000 New Economy Bubble by Foreign Capital Inflow: Implications for the Future of the Us Economy and its Stock Market

Number of pages: 41 Posted: 31 Jul 2003
Didier Sornette and Wei-Xing Zhou
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and East China University of Science and Technology - School of Business
Downloads 503 (73,342)
Citation 7

Abstract:

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Foreign capital inflow, speculative bubble, new economy, dollar depreciation, depression

49.

Quis Pendit Ipsa Pretia: Facebook Valuation and Diagnostic of a Bubble Based on Nonlinear Demographic Dynamics

Downloads 494 ( 74,952)
Citation 1

Quis Pendit Ipsa Pretia: Facebook Valuation and Diagnostic of a Bubble Based on Nonlinear Demographic Dynamics

Swiss Finance Institute Research Paper No. 11-58
Number of pages: 21 Posted: 30 Nov 2011
Peter Cauwels and Didier Sornette
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 494 (74,194)
Citation 1

Abstract:

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facebook, social-networking, valuation, IPO, S-curve, logistic growth, forecast, fundamental value, bubble

Quis Pendit Ipsa Pretia: Facebook Valuation and Diagnostic of a Bubble Based on Nonlinear Demographic Dynamics

Journal of Portfolio Management, Vol. 38, No. 2, 2012, https://doi.org/10.3905/jpm.2012.38.2.056
Posted: 21 May 2019
Peter Cauwels and Didier Sornette
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)

Abstract:

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Facebook, social-networking, valuation, IPO, S-curve, logistic growth, forecast, fundamental value, bubble

50.

Cascading Logistic Regression Onto Gradient Boosted Decision Trees to Predict Stock Market Changes Using Technical Analysis

Swiss Finance Institute Research Paper No. 18-50
Number of pages: 27 Posted: 25 Jul 2018 Last Revised: 08 Aug 2018
Feng Zhou, Zhang Qun, Didier Sornette and Liu Jiang
Guangdong University of Finance and Economics, Guangdong University of Foreign Studies, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and University of Surrey - Surrey Business School
Downloads 489 (75,888)
Citation 1

Abstract:

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Ensemble learning; gradient boosted decision trees; logistic regression; price prediction; transaction costs, technical analysis

51.

Diagnosis and Prediction of Market Rebounds in Financial Markets

Swiss Finance Institute Research Paper No. 10-15
Number of pages: 42 Posted: 14 Apr 2010
Wanfeng Yan, Ryan Woodard and Didier Sornette
ETH Zurich, ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 479 (77,836)
Citation 8

Abstract:

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negative bubble, rebound, positive feedback, pattern recognition, trading strategy, error diagram, prediction

52.

Zipf's Law for Firms: Relevance of Birth and Death Processes

Number of pages: 27 Posted: 15 Jan 2008 Last Revised: 13 Apr 2010
Yannick Malevergne, Alexander I. Saichev and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM, ETH Zurich - D-MTEC (Deceased) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 477 (78,219)
Citation 5

Abstract:

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53.

Anticipating Critical Transitions of Chinese Housing Markets

Swiss Finance Institute Research Paper No. 17-18
Number of pages: 33 Posted: 20 May 2017
Zhang Qun, Didier Sornette and Hao Zhang
Guangdong University of Foreign Studies, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and Guangdong University of Foreign Studies
Downloads 460 (81,777)

Abstract:

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real estate bubbles, forecasting, Log-Periodic Power Law Singularity, multi-scale analysis, quantile regression, DS LPPLS Confidence indicator

54.

Evaluation of the Quantitative Prediction of a Trend Reversal on the Japanese Stock Market in 1999

Downloads 460 ( 81,777)

Evaluation of the Quantitative Prediction of a Trend Reversal on the Japanese Stock Market in 1999

Number of pages: 6 Posted: 15 Jun 2000
Anders Johansen and Didier Sornette
Riso National Laboratory - Wind Energy Department and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 460 (81,009)
Citation 7

Abstract:

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Stock Market, Log-Periodic Oscillations, Scale Invariance, Prediction, Gold, Nikkei, Herding Behavior

Evaluation of the Quantitative Prediction of a Trend Reversal on the Japanese Stock Market in 1999

Posted: 18 Apr 2000
Anders Johansen and Didier Sornette
Riso National Laboratory - Wind Energy Department and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)

Abstract:

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55.

Is There A Real Estate Bubble in Switzerland? (Diagnostic as of 2012-Q4)

Swiss Finance Institute Research Paper No. 13-07
Number of pages: 17 Posted: 22 Mar 2013
Diego Ardila, Peter Cauwels, Dorsa Sanadgol and Didier Sornette
ETH Zürich, ETH Zürich, ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 454 (83,062)
Citation 3

Abstract:

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real estate bubble, Switzerland, interest rates, positive feedbacks, log-periodic power law, Comparis, Internet, supervised machine learning

56.

Early Warning Signals of Financial Crises with Multi-Scale Quantile Regressions of Log-Periodic Power Law Singularities

Swiss Finance Institute Research Paper No. 15-43
Number of pages: 27 Posted: 14 Oct 2015
Qun Zhang, Qun Zhang, Qunzhi Zhang and Didier Sornette
ETH ZürichGuangdong University of Foreign Studies, ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 451 (83,690)
Citation 8

Abstract:

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Financial bubble, Log-periodic power law singularity (LPPLS), Quantile regression, Early warning signals, Time scale, Probabilistic forecast

57.

Inefficient Bubbles and Efficient Drawdowns in Financial Markets

Swiss Finance Institute Research Paper No. 18-49
Number of pages: 57 Posted: 16 Jul 2018 Last Revised: 17 Apr 2020
Michael Schatz and Didier Sornette
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 448 (84,337)
Citation 3

Abstract:

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Financial Bubbles, Financial Crashes, Explosive processes, Bubble decomposition, Strict local martingale approach, Infinite horizon bubbles

58.

Empirical Distributions of Log-Returns: Between the Stretched Exponential and the Power Law?

Number of pages: 71 Posted: 25 Jun 2003
Yannick Malevergne, Vladilen Pisarenko and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM, Russian Academy of Sciences (RAS) - International Institute of Earthquake Prediction Theory and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 447 (84,546)
Citation 9

Abstract:

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Extreme-Value Estimators, Non-Nested Hypothesis Testing, Pareto distribution, Weibull distribution

59.

Tail Dependence of Factor Models

Number of pages: 29 Posted: 23 Feb 2002
Yannick Malevergne and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 440 (86,145)
Citation 2

Abstract:

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Factor model, Nonparametric estimation, Tail dependence

60.

Super-Exponential Growth Expectations and the Global Financial Crisis

Journal of Economic Dynamics and Control, Vol. 55, No. C, 2015, Swiss Finance Institute Research Paper No. 14-52
Number of pages: 27 Posted: 08 Aug 2014 Last Revised: 24 Sep 2015
Matthias Leiss, Heinrich H. Nax and Didier Sornette
ETH Zürich, ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 435 (87,325)
Citation 8

Abstract:

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option-implied returns, super-exponential growth, expectations, financial bubble, financial crisis, real-minus-implied risk premium, Granger causality

61.

Endogenous Versus Exogenous Origins of Financial Rallies and Crashes in an Agent-Based Model with Bayesian Learning and Imitation

Swiss Finance Institute Research Paper No. 08-16
Number of pages: 40 Posted: 07 Jul 2008
Georges Harras and Didier Sornette
affiliation not provided to SSRN and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 430 (88,454)
Citation 6

Abstract:

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stock market, crash, rallies, bubble, herding, news

62.

Bubble, Critical Zone and the Crash of Royal Ahold

Number of pages: 37 Posted: 26 Mar 2004
Gerrit Broekstra, Didier Sornette and Wei-Xing Zhou
Nyenrode University, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and East China University of Science and Technology - School of Business
Downloads 424 (89,940)
Citation 2

Abstract:

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Syngernetics, Royal Ahold, Bubble, Critical Zone, Crash

63.

Anomalous Returns in a Neural Network Equity-Ranking Predictor

Swiss Finance Institute Research Paper No. 08-15
Number of pages: 39 Posted: 09 Jul 2008
Jeffrey Satinover and Didier Sornette
University of Nice, CNRS and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 411 (93,217)

Abstract:

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Neural networks, Value Line ranking, anomalous returns, anti-persistence

64.

'Bubbles in Society' - The Example of the United States Apollo Program

Number of pages: 37 Posted: 04 Jun 2008
Monika Gisler and Didier Sornette
ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 406 (94,583)
Citation 1

Abstract:

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Risk, bubble, Apollo-Program, United States

65.

Professor Zipf Goes to Wall Street

Downloads 400 ( 96,174)
Citation 2

Professor Zipf Goes to Wall Street

Number of pages: 33 Posted: 21 Aug 2009
Yannick Malevergne, Pedro Santa-Clara and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM, New University of Lisbon - Nova School of Business and Economics and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 340 (114,781)
Citation 4

Abstract:

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Zipf, APT, firm size

Professor Zipf Goes to Wall Street

NBER Working Paper No. w15295
Number of pages: 34 Posted: 31 Aug 2009 Last Revised: 18 Apr 2021
Yannick Malevergne, Pedro Santa-Clara and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM, New University of Lisbon - Nova School of Business and Economics and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 60 (460,045)

Abstract:

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66.

The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields

Swiss Finance Institute Research Paper No. 11-05
Number of pages: 15 Posted: 17 Feb 2011
Kun Guo, Wei-Xing Zhou, Si-Wei Cheng and Didier Sornette
Chinese Academy of Sciences (CAS), East China University of Science and Technology - School of Business, Chinese Academy of Sciences (CAS) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 394 (97,875)

Abstract:

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monetary policy, federal funds rate, yield curves, stock markets, causality, lead-lag, dependence

67.

Predicting Financial Market Crashes Using Ghost Singularities

Swiss Finance Institute Research Paper No. 17-23
Number of pages: 21 Posted: 23 Jun 2017
Damian Smug, Peter Ashwin and Didier Sornette
University of Exeter, University of Exeter and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 379 (102,384)
Citation 5

Abstract:

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Financial Markets, State Space Models, Price Forecasting, Simulation, Bifurcation Theory, Finite-Time Singularity

68.

A Two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes

Number of pages: 38 Posted: 19 Feb 2007
Yannick Malevergne and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 377 (103,006)
Citation 4

Abstract:

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69.

A Simple Model of Financial Crises: Household Debt, Inequality and Housing Wealth

Number of pages: 45 Posted: 24 May 2018
Richard Senner and Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 370 (105,103)
Citation 1

Abstract:

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Financial Crises, Collateral, Credit Creation, Housing Wealth

70.

Super-Exponential RE Bubble Model with Efficient Crashes

Swiss Finance Institute Research Paper No. 17-33
Number of pages: 59 Posted: 16 Nov 2017 Last Revised: 05 Sep 2018
Jerome L Kreuser and Didier Sornette
ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 361 (108,141)

Abstract:

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financial bubbles, efficient crashes, positive feedback, rational expectation, Kelly criterion, optimal investment

71.

Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model

Downloads 358 (109,106)
Citation 4

Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model

Swiss Finance Institute Research Paper No. 11-29
Number of pages: 25 Posted: 12 Aug 2011
Didier Sornette, Ryan Woodard, Wanfeng Yan and Wei-Xing Zhou
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zurich, ETH Zurich and East China University of Science and Technology - School of Business
Downloads 212 (186,163)
Citation 3

Abstract:

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JLS model, financial bubbles, crashes, log-periodic power law, fit method, sloppiness, taboo search, bootstrap, probabilistic forecast

Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model

ETH Risk Center – Working Paper No. 11-004
Number of pages: 24 Posted: 21 Dec 2012
Didier Sornette, Ryan Woodard, Wanfeng Yan and Wei-Xing Zhou
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zurich, ETH Zurich and East China University of Science and Technology - School of Business
Downloads 146 (258,269)
Citation 2

Abstract:

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JLS model, financial bubbles, crashes, log-periodic power law, fit method, sloppiness, taboo search, bootstrap, probabilistic forecast

72.

Crash-sensitive Kelly Strategy built on a modified Kreuser-Sornette bubble model tested over three decades of twenty equity indices

Swiss Finance Institute Research Paper No. 20-85
Number of pages: 37 Posted: 09 Oct 2020 Last Revised: 16 Oct 2020
J-C Gerlach, Jerome L Kreuser and Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 344 (114,025)

Abstract:

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financial bubbles, efficient crashes, positive feedback, rational expectation, Kelly criterion, optimal investment, Covid-19 crash

73.

Interpreting, Analysing and Modelling COVID-19 Mortality Data

Swiss Finance Institute Research Paper No. 20-27
Number of pages: 109 Posted: 30 Apr 2020 Last Revised: 04 Aug 2020
Didier Sornette, Michael Schatz, Euan Mearns, Ke Wu, Ke Wu and Didier Darcet
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zurich - Department of Management, Technology, and Economics (D-MTEC)Southern University of Science and Technology and Insight Research LLC
Downloads 344 (114,025)
Citation 3

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COVID-19 epidemic; mortality; life expectancy; stringency of confinement measures; logistic equation; outbreak progress

74.

Toward a Unified Framework of Credit Creation

Swiss Finance Institute Research Paper No. 14-07
Number of pages: 47 Posted: 14 Feb 2014
Susanne von der Becke and Didier Sornette
ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 344 (114,025)
Citation 1

Abstract:

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Credit creation, Financial crises, Leverage, Liquidity, Confidence

75.

Dating the Financial Cycle: A Wavelet Proposition

Swiss Finance Institute Research Paper No. 16-29
Number of pages: 11 Posted: 05 May 2016 Last Revised: 07 May 2016
Diego Ardila and Didier Sornette
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 330 (119,395)

Abstract:

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Financial cycle, wavelet transform, multi-scale analysis, BBQ algorithm, turning points, interval estimates

76.

Super-Exponential Endogenous Bubbles in an Equilibrium Model of Fundamentalist and Chartist Traders

Swiss Finance Institute Research Paper No. 15-07
Number of pages: 44 Posted: 08 Feb 2015 Last Revised: 10 Mar 2015
Taisei Kaizoji, Matthias Leiss, Alexander I. Saichev and Didier Sornette
International Christian University, ETH Zürich, ETH Zurich - D-MTEC (Deceased) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 329 (119,788)
Citation 2

Abstract:

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financial bubbles, faster-than-exponential growth, social imitation, momentum trading, chartists dotcom bubble

77.

Most Efficient Homogeneous Volatility Estimators

Downloads 323 (122,195)
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 232 (170,727)
Citation 1

Abstract:

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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 91 (362,928)
Citation 2

Abstract:

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

78.

Lagrange Regularisation Approach to Compare Nested Data Sets and Determine Objectively Financial Bubbles' Inceptions

Swiss Finance Institute Research Paper No. 18-20
Number of pages: 16 Posted: 25 Jul 2017 Last Revised: 15 Mar 2018
Guilherme Demos and Didier Sornette
ETH-Zürich - Department of Management Technology and Economics (D-MTEC) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 322 (122,598)
Citation 1

Abstract:

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Financial Bubbles, Time Series Analysis, Numerical Simulation, Sub-Sample Selection, Overfitting, Goodness-of-Fit, Cost Function, Optimization

79.

Investors' Misperception: A Hidden Source of High Markups in the Mutual Fund Industry

Swiss Finance Institute Research Paper No. 09-04
Number of pages: 47 Posted: 23 Feb 2009 Last Revised: 25 Feb 2009
Shengsui Hu, Shengsui Hu, Yannick Malevergne and Didier Sornette
ETH Zurich, D-MTECETH Zürich, Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 306 (129,410)
Citation 1

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Mutual Fund Fees, Mutual Funds, Asymmetric Information, Principal-Agent, Relationships, Markup, Optimism Bias

80.

Are ‘Flow of Ideas’ and ‘Research Productivity’ in secular decline?

Swiss Finance Institute Research Paper No. 20-90
Number of pages: 34 Posted: 22 Oct 2020 Last Revised: 24 Oct 2020
Peter Cauwels and Didier Sornette
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 304 (138,980)
Citation 1

Abstract:

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research productivity, knowledge accumulation, economic growth, endogenous growth, exponential growth, S-curve, technological progress, discovery, invention, innovation, scientific revolutions

81.

Rational Belief Bubbles

Downloads 304 (130,334)
Citation 1

Rational Belief Bubbles

Number of pages: 31 Posted: 23 May 2018
H. Sohn and Didier Sornette
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 154 (247,089)
Citation 1

Abstract:

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Asset pricing, Bubbles, Efficient markets, Rational expectations, Rational Beliefs, Aggregation, Heterogeneous expectations, Correlated beliefs

Rational Belief Bubbles

Swiss Finance Institute Research Paper No. 20-05
Number of pages: 43 Posted: 05 Feb 2020
H. Sohn and Didier Sornette
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 150 (252,604)

Abstract:

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Asset pricing, Bubbles, Ecient markets, Rational expectations, Rational Beliefs, Aggregation, Heterogeneous expectations, Correlated beliefs

82.

Government Support for SMEs in Response to COVID-19: Theoretical Model Using Wang Transform

Swiss Finance Institute Research Paper No. 20-59
Number of pages: 29 Posted: 06 Aug 2020 Last Revised: 10 Aug 2020
Shaun S. Wang, Jing Rong Goh, Didier Sornette, He Wang and Esther Ying Yang
Southern University of Science and Technology, Risk Lighthouse International, Singapore, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), Southern University of Science and Technology and Risk Lighthouse, USA
Downloads 299 (132,689)
Citation 1

Abstract:

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COVID-19, SME, Bank Loan, Government Subsidy, Wang Transform

83.

Birth or Burst of Financial Bubbles: Which One is Easier to Diagnose?

Swiss Finance Institute Research Paper No. 15-57
Number of pages: 42 Posted: 06 Dec 2015
Guilherme Demos, Qunzhi Zhang and Didier Sornette
ETH Zürich, ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 297 (133,659)

Abstract:

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Financial bubbles, sloppiness, Hessian matrix, Time Series Analysis, Numerical Simulation

84.

Endogenous Versus Exogenous Shocks in Complex Networks: An Empirical Test Using Book Sale Rankings

Physical Review Letters, Vol. 93, 2004
Number of pages: 5 Posted: 18 Nov 2003 Last Revised: 02 Apr 2011
Didier Sornette, Fabrice Deschatres, Thomas Gilbert and Yann Ageon
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), affiliation not provided to SSRN, University of Washington - Department of Finance and Business Economics and Université de Nice Sophia Antipolis - Laboratoire de Physique de la Matiere Condensee (LPMC)
Downloads 296 (134,122)
Citation 5

Abstract:

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Amazon, shocks, endogenous, exogenous, networks, critical, marketing

85.

Investors’ Expectations, Management Fees and the Underperformance of Mutual Funds

Swiss Finance Institute Research Paper No. 12-01
Number of pages: 60 Posted: 06 Feb 2012
Andreas D. Huesler, Yannick Malevergne and Didier Sornette
ETH Zürich, Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 293 (135,571)
Citation 1

Abstract:

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Mutual Fund Fee, Mutual Fund, Asymmetric Information, Principal-Agent Relationship, Markup

86.

Hedging Extreme Co-Movements

Number of pages: 11 Posted: 19 Jun 2002
Yannick Malevergne and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 280 (142,074)
Citation 2

Abstract:

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87.

A Theory of Evolution, Fairness, and Altruistic Punishment

Number of pages: 30 Posted: 23 Oct 2011
Moritz Hetzer and Didier Sornette
ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 272 (146,359)
Citation 3

Abstract:

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inequity aversion, other-regarding behavior, utility theory, altruistic punishment, evolution

88.

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 270 (147,516)
Citation 4

Abstract:

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

89.

Importance of Positive Feedbacks and Over-Confidence in a Self-Fulfilling Ising Model of Financial Markets

Number of pages: 43 Posted: 15 Apr 2005
Didier Sornette and Wei-Xing Zhou
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and East China University of Science and Technology - School of Business
Downloads 263 (151,418)
Citation 4

Abstract:

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Ising model, overconfidence, imitation and herding, econophysics

90.

A Creepy World

Swiss Finance Institute Research Paper No. 13-55
Number of pages: 18 Posted: 02 Feb 2014
Didier Sornette and Peter Cauwels
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zürich
Downloads 249 (159,964)
Citation 1

Abstract:

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systemic crisis, change of regime, financial bubble, bifurcation, instability, precursors, prediction, scenarios

91.

Portfolio Selection With Exploration of New Investment Opportunities

Swiss Finance Institute Research Paper No. 20-57
Number of pages: 58 Posted: 06 Aug 2020 Last Revised: 07 Oct 2021
Luca De Gennaro Aquino, Luca De Gennaro Aquino, Didier Sornette and Moris Simon Strub
Grenoble Ecole de ManagementSouthern University of Science and Technology, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and Southern University of Science and Technology - Department of Information Systems and Management Engineering
Downloads 248 (160,593)

Abstract:

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portfolio selection, mean-variance optimization, exploration vs exploitation, investment universe, alternative investments

92.

Testing the Stability of the 2000-2003 Us Stock Market 'Antibubble'

Number of pages: 32 Posted: 20 Nov 2003
Wei-Xing Zhou and Didier Sornette
East China University of Science and Technology - School of Business and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 243 (163,755)
Citation 12

Abstract:

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Econophysics, Prediction, Log-periodic power law, Antibubble, Hypothesis test

93.

The 'New Normal' of the Swiss Balance of Payments in a Global Perspective: Central Bank Intervention, Global Imbalances and the Rise of Sovereign Wealth Funds

Swiss Finance Institute Research Paper No. 17-22
Number of pages: 53 Posted: 23 Jun 2017
Richard Senner and Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 239 (166,395)
Citation 1

Abstract:

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Surplus Countries, Central Bank Interventions, Sovereign Wealth Funds, Mercantilist Critique, Swiss Franc, Current Account Imbalance

94.

Trapped in the “zero-risk” society and how to break free

Swiss Finance Institute Research Paper No. 20-78
Number of pages: 6 Posted: 01 Sep 2020 Last Revised: 14 Sep 2020
Didier Sornette and Peter Cauwels
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zürich
Downloads 237 (167,738)
Citation 1

Abstract:

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risks, uncertainty, unknowns, dragon-kings, extremes, out-of-equilibrium, risk-taking, innovation, invention, discovery

95.

Market Impact and Performance of Arbitrageurs of Financial Bubbles in An Agent-Based Model

Swiss Finance Institute Research Paper No. 19-29
Number of pages: 38 Posted: 07 Jul 2019
Rebecca Westphal and Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 236 (168,408)
Citation 3

Abstract:

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financial bubbles, agent-based model, arbitrageurs, prediction, noise traders, fundamen- talists, market impact

96.

Early Dynamics of a Major Scientific Project: Testing the Social Bubble Hypothesis

Number of pages: 22 Posted: 10 Oct 2013
Monika Gisler, Didier Sornette and Gudela Grote
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 229 (173,370)
Citation 1

Abstract:

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Social Bubble, Innovation, Risk, Future and Emerging Technology (FET) Flagship Initiative

97.

Role of Information in Decision Making of Social Agents

International Journal of Information Technology and Decision Making, Vol. 14, pp. 1129-1166, 2015
Number of pages: 39 Posted: 10 Mar 2012 Last Revised: 11 Apr 2017
Vyacheslav I. Yukalov and Didier Sornette
Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 224 (177,064)
Citation 9

Abstract:

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Decision theory, Decision making under risk and uncertainty, Group consultations, Social interactions, Information and knowledge

98.

Role of Diversification Risk in Financial Bubbles

Swiss Finance Institute Research Paper No. 11-26
Number of pages: 25 Posted: 08 Jul 2011
Wanfeng Yan, Ryan Woodard and Didier Sornette
ETH Zurich, ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 223 (177,829)

Abstract:

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financial bubbles, rational expectations, positive feedback, factor model, diversification, Chinese market

99.

Analysis of the Real Estate Market in Las Vegas: Bubble, Seasonal Patterns, and Prediction of the CSW Indexes

Number of pages: 24 Posted: 26 Apr 2007
Wei-Xing Zhou and Didier Sornette
East China University of Science and Technology - School of Business and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 211 (187,260)
Citation 11

Abstract:

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Econophysics, real estate market, periodicity, power law, prediction

100.

“Salvation and Profit”: Deconstructing the Clean-Tech Bubble

Swiss Finance Institute Research Paper No. 21-36
Number of pages: 28 Posted: 26 May 2021
Vincent Giorgis, Tobias Huber and Didier Sornette
ETH Zurich, ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 210 (188,076)

Abstract:

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Financial Bubbles, Narrative Economics, Technological Innovation, Clean Tech, Energy, Venture Capital

101.

Risk and Resilience Management in Social-Economic Systems

Swiss Finance Institute Research Paper No. 16-30
Number of pages: 10 Posted: 13 May 2016
Tatyana Kovalenko and Didier Sornette
ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 210 (188,076)

Abstract:

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Resilience, risk, stress, uncertainty, predictability, dynamics, exogenous, endogenous, adaptive management, black swan, dragon-king

102.

Comparing Ask and Transaction Prices in the Swiss Housing Market

Swiss Finance Institute Research Paper No. 16-80
Number of pages: 30 Posted: 05 Jan 2017
Ahmed Ahmed, Diego Ardila, Dorsa Sanadgol and Didier Sornette
University of Chicago, ETH Zürich, ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 205 (192,373)

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Ask prices, Transaction prices, Log normal distribution, Co-integration, Granger causality, Bubbles, LPPLS, Search models

103.

Inferring Fundamental Value and Crash Nonlinearity from Bubble Calibration

Swiss Finance Institute Research Paper No. 10-50
Number of pages: 27 Posted: 04 Dec 2010
Wanfeng Yan, Ryan Woodard and Didier Sornette
ETH Zurich, ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 202 (195,047)
Citation 5

Abstract:

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Financial Bubbles, Crash, Prediction, Fundamental Value, Nonlinearity, Wilks Statistics, Bootstrap

104.

Calibration of Quantum Decision Theory, Aversion to Large Losses and Predictability of Probabilistic Choices

Swiss Finance Institute Research Paper No. 16-31
Number of pages: 45 Posted: 13 May 2016
Sabine Vincent, Tatyana Kovalenko, Vyacheslav I. Yukalov and Didier Sornette
ETH Zurich, ETH Zurich, Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 199 (197,645)
Citation 3

Abstract:

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Quantum decision theory, QDT, prospect probability, utility factor, attraction factor, interference, parametrization, hierarchical estimation method, calibration, empirical data, simple gambles, stochastic Cumulative prospect theory, logit-CPT, probabilistic decision making, limits of predictability

105.

Multiple Outlier Detection in Samples with Exponential & Pareto Tails: Redeeming the Inward Approach & Detecting Dragon Kings

Swiss Finance Institute Research Paper No. 15-28
Number of pages: 35 Posted: 19 Aug 2015 Last Revised: 23 Oct 2015
Spencer Wheatley and Didier Sornette
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 196 (200,386)
Citation 4

Abstract:

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Outlier Detection, Exponential sample, Pareto sample, Dragon King, Extreme Value Theory

106.

Is There a Housing Bubble in China?

Number of pages: 23 Posted: 11 Jan 2018
Tianhao Zhi, Zhongfei Li, Zhi-Qiang Jiang, Lijian Wei and Didier Sornette
Business School, Sun Yat-sen University, Sun Yat-sen Business School, Sun Yat-sen University, East China University of Science and Technology (ECUST), Business School of Sun Yat-sen Univerisity and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 195 (201,335)

Abstract:

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housing bubble, Log-Period-Power-Law-Singularity, bubble prediction, the Chinese real estate market

107.

Quantum Decision Theory in Simple Risky Choices

PLoS ONE 11(12): e0168045, 2016, DOI: 10.1371/journal.pone.0168045, Swiss Finance Institute Research Paper No. 16-09
Number of pages: 23 Posted: 15 Feb 2016 Last Revised: 11 Mar 2017
Maroussia Favre, Amrei Wittwer, Hans Rudolf Heinimann, Vyacheslav I. Yukalov and Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), University of Zurich - Collegium Helveticum, ETH Zürich, Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 195 (201,335)
Citation 1

Abstract:

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Decision making, quantum decision theory, risk, uncertainty, binary lotteries, gains, how-to guide

108.

Quantitative Modelling of the EUR/CHF Exchange Rate during the Target Zone Regime of September 2011 to January 2015

Swiss Finance Institute Research Paper No. 15-22
Number of pages: 20 Posted: 24 Jul 2015 Last Revised: 15 Oct 2015
Sandro Lera and Didier Sornette
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 195 (201,335)
Citation 8

Abstract:

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Exchange rate dynamics, target zone, conditional volatility

109.

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 194 (202,253)
Citation 4

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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.

110.

The Endo-Exo Problem in High Frequency Financial Price Fluctuations and Rejecting Criticality

Swiss Finance Institute Research Paper No. 18-57
Number of pages: 24 Posted: 27 Aug 2018 Last Revised: 29 Aug 2018
Spencer Wheatley, Alexander Wehrli and Didier Sornette
ETH Zürich, ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 193 (203,227)
Citation 5

Abstract:

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mid-price changes, trade times, Hawkes process, endogeneity, criticality, Expectation- Maximization, BIC, non-stationarity, ARMA point process, spurious inference, external shocks

111.

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 191 (205,147)
Citation 13

Abstract:

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

112.

Dynamics and Spatial Distribution of Global Nighttime Lights

Swiss Finance Institute Research Paper No. 13-02
Number of pages: 33 Posted: 23 Mar 2013
Nicola Pestalozzi, Peter Cauwels and Didier Sornette
ETH Zürich, ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 186 (209,999)
Citation 3

Abstract:

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satellite nighttime lights, spatial light Gini coefficient, nighttime light growth, economic development, agglomeration growth, light pollution

113.

Super-Exponential Bubbles in Lab Experiments: Evidence for Anchoring Over-Optimistic Expectations on Price

Swiss Finance Institute Research Paper No. 12-20
Number of pages: 27 Posted: 18 May 2012
Andreas D. Huesler, Didier Sornette and Cars H. Hommes
ETH Zürich, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and Government of Canada - Bank of Canada
Downloads 186 (209,999)
Citation 3

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rational expectations, nancial bubbles, speculation, anchoring, laboratory experiments, behavioral model, super-exponential growth, positive feedback, behavioral expectations

114.

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
Alexander I. Saichev, Didier Sornette, Vladimir Filimonov and Fulvio Corsi
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 186 (209,999)

Abstract:

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

115.

Physics of Risk and Uncertainty in Quantum Decision Making

European Physical Journal B, Vol. 71, pp. 533-548, 2009
Number of pages: 30 Posted: 24 Oct 2009
Vyacheslav I. Yukalov and Didier Sornette
Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 184 (212,014)
Citation 2

Abstract:

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Social and economic systems, Communication complexity, Complex systems, Quantum communication

116.

Price Dynamics with Circuit Breakers

Number of pages: 22 Posted: 02 Jul 2019 Last Revised: 01 Jul 2021
Sandro Claudio Lera, Didier Sornette and Florian Ulmann
MIT Media Lab, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zurich
Downloads 183 (213,053)

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circuit breaker, trading halt, magnet effect

117.

Detection of Crashes and Rebounds in Major Equity Markets

RC working paper No. 11-001
Number of pages: 39 Posted: 19 Dec 2012
Wanfeng Yan, Reda Rebib, Ryan Woodard and Didier Sornette
ETH Zurich, ETH Zürich, ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 181 (215,067)
Citation 5

Abstract:

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JLS model, financial bubbles, crashes, rebounds, log-periodic power law, pattern recognition method, alarm index, prediction, error diagram, trading strategy

118.

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 180 (216,105)
Citation 13

Abstract:

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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

119.

Bubbles as Violations of Efficient Time-Scales

Institute for New Economic Thinking Working Paper Series No. 65
Number of pages: 25 Posted: 04 Dec 2017
H. Sohn and Didier Sornette
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 176 (220,294)

Abstract:

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Bubbles, Efficient markets, Martingales, Persistent random walks, Methodology, Market microstructure

120.

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 175 (221,371)
Citation 4

Abstract:

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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

121.

Bubbles for Fama from Sornette

Swiss Finance Institute Research Paper No. 21-94
Number of pages: 68 Posted: 30 Dec 2021
Dongshuai Zhao CFA and Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 174 (226,891)

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financial bubbles, superposed epoch analysis, log-periodic power law singularity, confidence indicator, crash, drawdown, precursors, super-exponential

122.

Gibrat’s Law for Cities: Uniformly Most Powerful Unbiased Test of the Pareto Against the Lognormal

Swiss Finance Institute Research Paper No. 09-40
Number of pages: 12 Posted: 28 Sep 2009
Yannick Malevergne, Vladilen Pisarenko and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM, Russian Academy of Sciences (RAS) - International Institute of Earthquake Prediction Theory and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 174 (222,444)
Citation 10

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City sizes, Gibrat’s law, Zipf’s law

123.

Nonlinear Dynamical Model of Regime Switching between Conventions and Business Cycles

Journal of Economic Behavior and Organization, Vol. 70, pp. 206-230, 2009
Number of pages: 64 Posted: 11 Jan 2007 Last Revised: 27 Apr 2009
Vyacheslav I. Yukalov, Didier Sornette and E.P. Yukalova
Joint Institute for Nuclear Research, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and Joint Institute for Nuclear Research
Downloads 169 (228,012)

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124.

Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes

Swiss Finance Institute Research Paper No. 20-39
Number of pages: 38 Posted: 16 May 2020 Last Revised: 18 May 2020
Alexander Wehrli, Spencer Wheatley and Didier Sornette
ETH Zürich, ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 164 (233,907)
Citation 2

Abstract:

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Hawkes process; Integer-valued autoregressive process; Econometrics; High frequency financial data; Market microstructure; Spurious inference; Nonstationarity; EM algorithm

125.

How Market Intervention Can Prevent Bubbles and Crashes

Swiss Finance Institute Research Paper No. 20-74
Number of pages: 41 Posted: 31 Aug 2020 Last Revised: 04 Sep 2020
Rebecca Westphal and Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 163 (235,066)

Abstract:

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financial bubbles, agent-based model, arbitrageurs, prediction, noise traders, fundamentalists, market intervention

126.

Exuberant Innovation: The Human Genome Project

Swiss Finance Institute Research Paper No. 10-12
Number of pages: 25 Posted: 18 Mar 2010
Monika Gisler, Didier Sornette and Ryan Woodard
ETH Zurich, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zurich
Downloads 163 (235,066)
Citation 2

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Human Genome Project; social bubbles; innovation; positive feedbacks; financial bubbles;

127.

Impact of Governmental Interventions on Epidemic Progression and Workplace Activity during the COVID-19 Outbreak

Swiss Finance Institute Research Paper No. 20-58
Number of pages: 66 Posted: 06 Aug 2020 Last Revised: 10 Aug 2020
Sumit Kumar Ram and Didier Sornette
Department of Management, Technology, and Economics, ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 162 (236,274)

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COVID-19, Effective reproduction number, Governmental interventions, Human mobility

128.

Secular Bipolar Growth Rate of the Real US GDP Per Capita: Implications for Understanding Past and Future Economic Growth

Swiss Finance Institute Research Paper No. 15-62
Number of pages: 18 Posted: 16 Dec 2015 Last Revised: 20 Mar 2017
Sandro Lera and Didier Sornette
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 159 (240,095)
Citation 5

Abstract:

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Wavelet transform, Economic growth, GDP per capita, Business cycle, Multi-scale analysis

129.

Constrained Random Walk Models for Euro/Swiss Franc Exchange Rates: Theory and Empirics

Swiss Finance Institute Research Paper No. 15-33
Number of pages: 10 Posted: 22 Aug 2015
Sandro Lera and Didier Sornette
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 158 (241,391)
Citation 1

Abstract:

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exchange rate dynamics, target zone, order book fluid, econophysics

130.

Classification of Flash Crashes Using the Hawkes(p,q) Framework

Swiss Finance Institute Research Paper No. 20-92
Number of pages: 47 Posted: 04 Nov 2020
Alexander Wehrli and Didier Sornette
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 154 (246,545)
Citation 1

Abstract:

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Flash crash; Hawkes process; ARMA point process; High frequency financial data; Market microstructure; EM algorithm; Time-varying parameters

131.

Wealth and Income Inequalities ← → r > g

Swiss Finance Institute Research Paper No. 16-69
Number of pages: 50 Posted: 02 Dec 2016
Yannick Malevergne and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 146 (257,495)

Abstract:

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inequality, return on capital, growth rate, labor, national output, demographics

132.

A Simple Microstructure Return Model Explaining Microstructure Noise and Epps Effects

Swiss Finance Institute Research Paper No. 12-08
Number of pages: 53 Posted: 23 Feb 2012
Didier Sornette and Alexander I. Saichev
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zurich - D-MTEC (Deceased)
Downloads 143 (261,902)

Abstract:

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high-frequency trading, micro-structure, Epps effect, long memory, momentum

133.

Investment Strategies Used as Spectroscopy of Financial Markets Reveal New Stylized Facts

Swiss Finance Institute Research Paper No. 11-30
Number of pages: 19 Posted: 05 Sep 2011
Wei-Xing Zhou, Guo-Hua Mu, Didier Sornette and Wei Chen
East China University of Science and Technology - School of Business, East China University of Science and Technology (ECUST), ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and Stock Exchange of Shenzhen
Downloads 141 (264,761)

Abstract:

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trading strategies, stylized facts, Shenzhen Stock Exchange of China, investment performance, illusion of control, trading frequency, arbitrage opportunities

134.

Other-Regarding Preferences and Altruistic Punishment: A Darwinian Perspective

Swiss Finance Institute Research Paper No. 09-31
Number of pages: 13 Posted: 09 Sep 2009
Moritz Hetzer and Didier Sornette
ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 141 (264,761)
Citation 1

Abstract:

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altruism, punishment, social dilemman, cooperation, social norms, agent-based model, evolutionary dynamics

135.

The Role of Diversification Risk in Financial Bubbles

ETH Risk Center – Working Paper No. ETH-RC-11-003
Number of pages: 24 Posted: 21 Dec 2012
Wanfeng Yan, Ryan Woodard and Didier Sornette
ETH Zurich, ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 140 (266,244)
Citation 1

Abstract:

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financial bubbles, rational expectations, positive feedback, factor model, diversification, Chinese market

136.

A Sovereign Wealth Fund for Switzerland

Swiss Finance Institute Research Paper No. 17-24
Number of pages: 6 Posted: 06 Sep 2017
Richard Senner and Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 139 (267,766)

Abstract:

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surplus countries, central bank interventions, sovereign wealth funds, mercantilist critique, Swiss franc, current account imbalance

137.

Processing Information in Quantum Decision Theory

Entropy, Vol. 11, pp. 1073-1120, 2009
Number of pages: 49 Posted: 02 Mar 2010 Last Revised: 18 Mar 2010
Vyacheslav I. Yukalov and Didier Sornette
Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 139 (267,766)
Citation 3

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quantum information processing, quantum decision making, entangled decisions, intention interference, decision non-commutativity, minimal information

138.

Quantum Decision Theory as Quantum Theory of Measurement

Physics Letters A, Vol. 372, pp. 6867-6871, 2008
Number of pages: 11 Posted: 01 Apr 2009
Vyacheslav I. Yukalov and Didier Sornette
Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 136 (272,369)

Abstract:

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139.

Dynamical Internal Cost of Capital Driven by Cash Flow Growth

Swiss Finance Institute Research Paper No. 21-24
Number of pages: 40 Posted: 12 Mar 2021 Last Revised: 15 Mar 2021
David Solo, Didier Sornette and Florian Ulmann
Diversified Credit Investments, LLC, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zurich
Downloads 133 (277,050)

Abstract:

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Internal Cost of Capital, consumption based asset pricing model, cash flow growth, equity risk premium, implied risk, Fama-MacBeth regression, time-varying risk premium, trading strategy

140.

Scheme of Thinking Quantum Systems

Laser Physics Letters, Vol. 6, pp. 833-839, 2009
Number of pages: 15 Posted: 10 Sep 2009
Vyacheslav I. Yukalov and Didier Sornette
Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 131 (280,109)
Citation 2

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141.

Financial Brownian Particle in the Layered Order Book Fluid and Fluctuation-Dissipation Relations

Swiss Finance Institute Research Paper No. 14-06
Number of pages: 11 Posted: 08 Feb 2014
Yoshihiro Yura, Hideki Takayasu, Didier Sornette and Misako Takayasu
Tokyo Institute of Technology, Sony Computer Science Laboratories, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and Tokyo Institute of Technology
Downloads 129 (283,378)

Abstract:

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order book, Brownian particle, fluctuation-dissipation, dollar-yen

142.

Human-Environment-Health and Reinforcement of Individual Resilience

Swiss Finance Institute Research Paper No. 20-23
Number of pages: 8 Posted: 22 Apr 2020 Last Revised: 23 Apr 2020
Didier Sornette, Peter Cauwels, Euan Mearns, Ke Wu and Ke Wu
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zurich - Department of Management, Technology, and Economics (D-MTEC)Southern University of Science and Technology
Downloads 127 (286,749)

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COVID-19, resilience, system, pollution, individual responsibility, social digital technologies

143.

The Fair Reward Problem: The Illusion of Success and How to Solve It

Swiss Finance Institute Research Paper No. 19-25
Number of pages: 43 Posted: 25 Apr 2019 Last Revised: 29 Apr 2019
Didier Sornette, Spencer Wheatley and Peter Cauwels
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich and ETH Zürich
Downloads 127 (286,749)
Citation 2

Abstract:

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success, reward, luck, merit, measurement, scenario analysis, Darwinian, evolutionary learning, equality

144.

Stochastic Representation Decision Theory: How Probabilities and Values Are Entangled Dual Characteristics in Cognitive Processes

Swiss Finance Institute Research Paper No. 20-25
Number of pages: 44 Posted: 24 Apr 2020
Giuseppe Ferro and Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 126 (288,542)

Abstract:

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stochastic decision theory, duality of probability and value, subjective probability, risk-seeking behaviour, stochastic dominance

145.

The Conjunction Fallacy in Quantum Decision Theory

Swiss Finance Institute Research Paper No. 18-15
Number of pages: 48 Posted: 07 Mar 2018 Last Revised: 12 Mar 2018
Tatyana Kovalenko and Didier Sornette
ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 125 (290,244)
Citation 1

Abstract:

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Quantum decision theory, conjunction fallacy, interference, indeterminacy (uncertainty) principle, universal aversion

146.

When Games Meet Reality: Is Zynga Overvalued?

RC working paper No. 12-003
Number of pages: 28 Posted: 20 Dec 2012
Zalàn Forrò, Peter Cauwels and Didier Sornette
Independent, ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 124 (291,997)
Citation 3

Abstract:

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Zynga, valuation, social-networks, IPO, growth in competition, bubble, Facebook, lock-up, The Journal of Investment Strategies

147.

'Speculative Influence Network' During Financial Bubbles: Application to Chinese Stock Markets

Swiss Finance Institute Research Paper No. 15-45
Number of pages: 38 Posted: 05 Nov 2015
Li Lin and Didier Sornette
East China University of Science and Technology (ECUST) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 123 (293,713)
Citation 2

Abstract:

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financial bubbles, super-exponential, systemic risks, Hidden Markov Modeling, transfer entropy, speculative influence network, early warning system, Chinese stock market

148.

A Model of Financial Bubbles and Drawdowns with Non-local Behavioral Self-Referencing

Swiss Finance Institute Research Paper No. 21-96
Number of pages: 46 Posted: 30 Dec 2021
Yannick Malevergne, Didier Sornette and Ran Wei
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zurich
Downloads 120 (304,439)

Abstract:

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financial markets, bubbles, mispricing, faster-than-exponential growth, drawdowns, crashes, behavioral price anchoring, expected return

149.

How Brains Make Decisions

Springer Proceedings in Physics , Vol. 150, pp. 37-53, 2014
Number of pages: 20 Posted: 24 Jul 2014
Vyacheslav I. Yukalov and Didier Sornette
Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 118 (302,596)
Citation 1

Abstract:

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150.

Causal Slaving of the U.S. Treasury Bond Yield Antibubble by the Stock Market Antibubble of August 2000

Number of pages: 26 Posted: 26 Mar 2004
Wei-Xing Zhou and Didier Sornette
East China University of Science and Technology - School of Business and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 118 (302,596)
Citation 1

Abstract:

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Econophysics, Antibubble, Causality, Yield, Stock market

151.

Excess Financial Volatility Explained by Endogenous Excitations Revealed by EM Calibrations of a Generalized Hawkes Point Process

Swiss Finance Institute Research Paper No. 21-35
Number of pages: 35 Posted: 18 May 2021
Alexander Wehrli and Didier Sornette
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 114 (310,035)

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market efficiency, excess volatility, endogeneity, Hawkes process, high frequency data

152.

Quantification of the Evolution of Firm Size Distributions Due to Mergers and Acquisitions

Swiss Finance Institute Research Paper No. 16-39
Number of pages: 23 Posted: 22 Jun 2016 Last Revised: 14 Jul 2016
Sandro Claudio Lera and Didier Sornette
MIT Media Lab and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 111 (315,806)

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firm size distribution, mergers and acquisitions, coagulation equation, econophysics

153.

The Donation-Payment Card Concept: How to Give Twice with One Card

Number of pages: 7 Posted: 17 Oct 2005
Riley Crane, Juan V. Escobar-Sotomayor and Didier Sornette
University of California, Los Angeles (UCLA), University of California, Los Angeles (UCLA) - Department of Physics and Astronomy and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 109 (319,802)

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Gift card, charity, charities, stored-value, prepaid, altruism

154.

A Generalized 2D-Dynamical Mean-Field Ising Model with a Rich Set of Bifurcations (Inspired and Applied to Financial Crises)

Swiss Finance Institute Research Paper No. 17-34
Number of pages: 12 Posted: 16 Nov 2017
Damian Smug, Didier Sornette and Peter Ashwin
University of Exeter, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and University of Exeter
Downloads 107 (323,979)

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Ising model, dynamic map, social opinion dynamics, bifurcation diagram, chaos, regime shifts, bifurcation delay

155.

Conditions for Quantum Interference in Cognitive Sciences

Topics in Cognitive Science, Vol. 6, pp. 79-90, 2014
Number of pages: 15 Posted: 27 May 2013 Last Revised: 01 Feb 2014
Vyacheslav I. Yukalov and Didier Sornette
Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 106 (326,030)
Citation 2

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Decisions under uncertainty, Quantum measurements, Quantum probability, Conditions for interference

156.

A Civil Super-Manhattan Project in Nuclear Research for a Safer and Prosperous World

Swiss Finance Institute Research Paper No. 15-14
Number of pages: 10 Posted: 02 May 2015
Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 103 (332,244)

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social instabilities, nuclear stewardship, innovation, investment

157.

Forecasting Future Oil Production in Norway and the UK: A General Improved Methodology

Swiss Finance Institute Research Paper No. 14-46
Number of pages: 23 Posted: 26 Jul 2014
Lucas Fiévet, Zalàn Forrò, Peter Cauwels and Didier Sornette
ETH Zürich, Independent, ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 103 (332,244)

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Monte-Carlo, oil peak, logistic equation, Poisson process, power law distribution

158.

Uniform Integrability of a Single Jump Local Martingale with State-Dependent Characteristics

Swiss Finance Institute Research Paper No. 17-21
Number of pages: 19 Posted: 23 Jun 2017
Michael Schatz and Didier Sornette
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 101 (336,632)

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Uniformly Integrable Martingales, Local Martingales, Single Jump, Explosive Diffusion Processes, Financial Bubbles

159.

Self-Organization in Complex Systems as Decision Making

Advances in Complex Systems, Vol. 17, 1450016, 2014
Number of pages: 30 Posted: 08 Aug 2014
Vyacheslav I. Yukalov and Didier Sornette
Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 98 (343,324)
Citation 1

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self-organization; complex systems; decision theory; probabilistic scenarios; behavioral biases

160.

Cooperation by Evolutionary Feedback Selection in Public Good Experiments

Number of pages: 24 Posted: 12 Jan 2007
Didier Darcet and Didier Sornette
Insight Research LLC and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 97 (345,596)
Citation 2

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altruistic punishment, strong cooperativity, cooperation, public good games, social dilemma

161.

Micro-Foundation Using Percolation Theory of the Finite-Time Singular Behavior of the Crash Hazard Rate in a Class of Rational Expectation Bubbles

Swiss Finance Institute Research Paper No. 16-03
Number of pages: 14 Posted: 27 Jan 2016
Maximilian Seyrich and Didier Sornette
Technische Universität Berlin (TU Berlin) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 96 (347,957)
Citation 3

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Financial bubbles, rational bubbles, crash hazard rate, percolation, superlinear productivity, finite-time singularity, numerical simulations

162.

Resolving Persistent Uncertainty by Self-Organized Consensus to Mitigate Market Bubbles

Swiss Finance Institute Research Paper No. 16-08
Number of pages: 34 Posted: 14 Feb 2016
Didier Sornette, Sandra Andraszewicz, Ryan O. Murphy, Philipp B. Rindler and Dorsa Sanadgol
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich, University of Zurich - Department of Economics, EBS Universität für Wirtschaft und Recht - EBS Business School and ETH Zürich
Downloads 94 (352,550)

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Experimental Economics, Experimental Asset Market, Bubble, Uncertainty, Complete Contingent Market

163.

Decision Theory with Prospect Interference and Entanglement

Theory and Decision, Vol. 70, pp. 283-328, 2011
Number of pages: 42 Posted: 14 Feb 2011
Vyacheslav I. Yukalov and Didier Sornette
Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 92 (357,382)
Citation 2

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decision making, entangled decisions, intention interference, interference alternation, disjunction effect, conjunction fallacy, uncertainty aversion, decision noncommutativity

164.

Awareness of Crash Risk Improves Kelly Strategies in Simulated Financial Time Series

Number of pages: 35 Posted: 15 May 2020
J-C Gerlach, Jerome L Kreuser and Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 91 (359,875)

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Econometrics, Time Series Model, Kelly Criterion, Trading Strategy, Bubbles, Crashes, Risk

165.

Punctuated Evolution Due to Delayed Carrying Capacity

Physica D Volume: 238, Pages: 1752-1767 (2009)
Number of pages: 60 Posted: 02 Mar 2013
Vyacheslav I. Yukalov, E.P. Yukalova and Didier Sornette
Joint Institute for Nuclear Research, Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 90 (362,334)

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Delay equations, Population dynamics, Punctuated evolution

166.

Multi-asset financial bubbles in an agent-based model with noise traders’ herding described by an n-vector Ising model

Swiss Finance Institute Research Paper No. 21-76
Number of pages: 24 Posted: 11 Nov 2021
Davide Cividino, Rebecca Westphal and Didier Sornette
Polytechnic University of Turin, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 89 (367,406)

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financial bubbles; agent-based model; arbitrageurs; noise traders; fundamentalists; multi-assets; O(n) vector model; synchronisation

167.

Estimation and Comparison Between Rank-Dependent Expected Utility, Cumulative Prospect Theory and Quantum Decision Theory

Swiss Finance Institute Research Paper No. 21-49
Number of pages: 47 Posted: 25 Nov 2020 Last Revised: 06 Aug 2021
Giuseppe Ferro, Tatyana Kovalenko and Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 86 (372,615)

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choice under risk, quantum decision theory, rank-dependent utility theory, cumulative prospect theory

168.

Symmetric Thermal Optimal Path and Time-Dependent Lead-Lag Relationship: Novel Statistical Tests and Application to UK and US Real-Estate and Monetary Policies

Swiss Finance Institute Research Paper No. 14-57
Number of pages: 41 Posted: 25 Nov 2014
Hao Meng, Wei-Xing Zhou and Didier Sornette
East China University of Science and Technology (ECUST), East China University of Science and Technology - School of Business and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 85 (375,334)

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Lead-lag structure, Symmetric thermal optimal path, Statistical test, Housing market, Monetary policy

169.

New Approach to Modeling Symbiosis in Biological and Social Systems

International Journal of Bifurcation and Chaos, Vol. 24, p. 1450117, 2014.
Number of pages: 38 Posted: 11 Jul 2014
Vyacheslav I. Yukalov, E.P. Yukalova and Didier Sornette
Joint Institute for Nuclear Research, Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 75 (403,571)

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mathematical models of symbiosis, nonlinear differential equations, dynamics of coexisting species, functional carrying capacity, dynamical system bifurcations, supercritical Hopf bifurcation

170.

A Generic Model of Dyadic Social Relationships

Swiss Finance Institute Research Paper No. 13-62
Number of pages: 18 Posted: 24 Dec 2013 Last Revised: 20 May 2015
Maroussia Favre and Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 75 (403,571)
Citation 1

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Relational Models Theory, actions fluxes, exhaustiveness, data set analysis

171.

Significant Hot Hand Effect in International Cricket

Swiss Finance Institute Research Paper No. 21-50
Number of pages: 34 Posted: 03 Aug 2020 Last Revised: 06 Aug 2021
Sumit Kumar Ram, Shyam Nandan and Didier Sornette
Department of Management, Technology, and Economics, ETH Zurich, ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 73 (409,659)

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Hot Hand Effect, Gambler's Fallacy

172.

Statistical Outliers and Dragon-Kings as Bose-Condensed Droplets

European Physical Journal Special Topics, Vol. 205, pp. 53-64, 2012
Number of pages: 16 Posted: 08 May 2012
Vyacheslav I. Yukalov and Didier Sornette
Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 71 (415,887)

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173.

Economic Networks: What Do We Know and What Do We Need to Know?

Downloads 69 (422,418)

Economic Networks: What Do We Know and What Do We Need to Know?

ACS - Advances in Complex Systems, Vol. 12, Nos. 4-5, pp. 407-422, 2009, CCSS Working Paper No. CCSS-09-010
Number of pages: 19 Posted: 27 Apr 2010
Frank Schweitzer, Giorgio Fagiolo, Didier Sornette, Fernando Vega-Redondo, Fernando Vega-Redondo, Fernando Vega-Redondo and Douglas R. White
ETH Zürich, Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM), ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), Bocconi UniversityUniversidad de Alicante - Department of Economic AnalysisEuropean University Institute and University of California, Irvine - Department of Anthropology
Downloads 69 (427,732)
Citation 1

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economic networks

Economic Networks: What Do We Know and What Do We Need to Know?

Advances in Complex Systems
Posted: 26 Apr 2010 Last Revised: 29 Apr 2010
Giorgio Fagiolo, Didier Sornette, Fernando Vega-Redondo, Fernando Vega-Redondo, Fernando Vega-Redondo and Frank Schweitzer
Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM), ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), Bocconi UniversityUniversidad de Alicante - Department of Economic AnalysisEuropean University Institute and ETH Zürich

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Economic networks

174.

Quantum Probability and Quantum Decision Making

Philosophical Transactions of Royal Society A, Vol. 374, 20150100, 2016
Number of pages: 18 Posted: 12 Jan 2016
Vyacheslav I. Yukalov and Didier Sornette
Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 67 (428,928)
Citation 3

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quantum decision making, quantum probability, quantum measurements

175.

Entanglement Production in Quantum Decision Making

Physics of Atomic Nuclei, Vol. 73, pp. 559-562, 2010
Number of pages: 7 Posted: 25 Mar 2010
Vyacheslav I. Yukalov and Didier Sornette
Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 65 (435,751)
Citation 1

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176.

Strategies Used as Spectroscopy of Financial Markets Reveal New Stylized Facts

ETH Risk Center Working Paper No. 11-005
Number of pages: 18 Posted: 21 Dec 2012 Last Revised: 22 Dec 2012
Wei-Xing Zhou, Guo-Hua Mu, Wei Chen and Didier Sornette
East China University of Science and Technology - School of Business, East China University of Science and Technology (ECUST), Stock Exchange of Shenzhen and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 63 (442,693)

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trading strategies, stylized facts, Shenzhen Stock Exchange of China, investment performance, illusion of control, trading frequency, arbitrage opportunities

177.

Forms of Social Relationships in Distinct Cultural Settings

Number of pages: 27 Posted: 29 Apr 2016
Maroussia Favre and Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 61 (449,732)

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social relationships, culture, social networks, relational models theory, plural rationality theory, cultural grid-group theory

178.

Utility Rate Equations of Group Population Dynamics in Biological and Social Systems

PLOS One, Vol. 8, e83225, 2013
Number of pages: 39 Posted: 19 Dec 2012 Last Revised: 06 Jan 2014
Vyacheslav I. Yukalov, E.P. Yukalova and Didier Sornette
Joint Institute for Nuclear Research, Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 61 (449,732)

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trait groups, cooperators, defectors, regulators, evolution equations, evolutionally stable strategies, self-organized societies

179.

Quantum Probabilities as Behavioral Probabilities

Entropy, Vol. 19, p. 112, 2017
Number of pages: 32 Posted: 15 Mar 2017
Vyacheslav I. Yukalov and Didier Sornette
Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 60 (453,336)

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quantum decision making, behavioral probability, interference and coherence, irrationality measure, lotteries

180.

Dynamical System Theory of Periodically Collapsing Bubbles

European Physical Journal B, Vol. 88, p. 179 (2015)
Number of pages: 35 Posted: 20 Jul 2015
Vyacheslav I. Yukalov, E.P. Yukalova and Didier Sornette
Joint Institute for Nuclear Research, Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 59 (457,077)
Citation 1

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181.

Positive Operator-Valued Measures in Quantum Decision Theory

Lecture Notes in Computer Science (Book Series), Vol. 8951, pp. 146-161, 2015
Number of pages: 17 Posted: 18 Mar 2015
Vyacheslav I. Yukalov and Didier Sornette
Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 57 (464,653)
Citation 2

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Decision theory, Quantum information processing, Decisions under uncertainty, Quantum probability, Positive operator-valued measure, Entangled prospects

182.

Dynamical Signatures of Collective Quality Grading in a Social Activity: Attendance to Motion Pictures

Swiss Finance Institute Research Paper No. 14-45
Number of pages: 41 Posted: 26 Jul 2014
Juan Escobar and Didier Sornette
Physics Dept. Universidad Autonoma Metropolitana-Iztapalapa and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 56 (468,379)

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Complex Systems; Hawkes Process; Social Dynamics; Epidemic Branching Model; Perceived Quality; Movies

183.

Quantitative Predictions in Quantum Decision Theory

IEEE Transactions on Systems Man and Cybernetics Systems , Vol. 48, Issue 3 pp. 366-381, 2018
Number of pages: 17 Posted: 18 Feb 2018 Last Revised: 14 Jul 2018
Vyacheslav I. Yukalov and Didier Sornette
Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 53 (480,015)
Citation 4

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184.

Modeling Symbiosis by Interactions Through Species Carrying Capacities

Physica D: Nonlinear Phenomena, Vol. 241, pp. 1270-1289, 2012
Number of pages: 52 Posted: 08 Jun 2012
Vyacheslav I. Yukalov, E.P. Yukalova and Didier Sornette
Joint Institute for Nuclear Research, Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 52 (484,041)

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185.

Quantum Probabilities of Composite Events in Quantum Measurements With Multimode States

Laser Physics, Vol. 23, p. 105502, 2013
Number of pages: 28 Posted: 28 Aug 2013
Vyacheslav I. Yukalov and Didier Sornette
Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 51 (488,238)
Citation 2

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186.

Extreme Events in Population Dynamics With Functional Carrying Capacity

European Physical Journal Special Topics, Vol. 205, pp. 313-354, 2012
Number of pages: 60 Posted: 08 May 2012
Vyacheslav I. Yukalov, E.P. Yukalova and Didier Sornette
Joint Institute for Nuclear Research, Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 47 (505,335)

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187.

Quantum Theory of Measurements as Quantum Decision Theory

Journal of Physics Conference Series, Vol. 594, p. 012048, 2015
Number of pages: 9 Posted: 31 Mar 2015
Vyacheslav I. Yukalov and Didier Sornette
Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 46 (509,807)
Citation 9

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188.

Manipulating Decision Making of Typical Agents

IEEE Transactions on Systems Man and Cybernetics Systems, Vol. 44, pp. 1155-1168, 2014
Number of pages: 14 Posted: 02 Sep 2014
Vyacheslav I. Yukalov and Didier Sornette
Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 45 (514,230)
Citation 1

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Decision theory, Decision making under risk and uncertainty, Group consultations, Social interactions, Information and knowledge

189.

Disorder-Induced Volatility of Collective Dynamics

CCSS Working Paper No. CCSS-10-001
Number of pages: 7 Posted: 27 Apr 2010
Georges Harras, Claudio J. Tessone and Didier Sornette
affiliation not provided to SSRN, ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 43 (523,463)
Citation 1

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volatility, stochastic processes, financial markets

190.

Inconclusive Quantum Measurements and Decisions Under Uncertainty

Frontiers in Physics, Vol. 4, p. 12, 2016
Number of pages: 16 Posted: 18 Apr 2016
Vyacheslav I. Yukalov and Didier Sornette
Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 42 (528,249)
Citation 1

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quantum measurements, decision theory, inconclusive events, quantum probability, non-informative priors, decoy effect

191.

The Gradual Evolution of Buyer-Seller Networks and Their Role in Aggregate Fluctuations

Number of pages: 17 Posted: 01 Jun 2015 Last Revised: 25 Aug 2016
Ryohei Hisano, Tsutomu Watanabe, Tsutomu Watanabe, Takayuki Mizuno, Takaaki Ohnishi and Didier Sornette
University of Tokyo, University of Tokyo - Graduate School of EconomicsTokyo Center for Economic Research (TCER), Hitotsubashi University, University of Tokyo - Graduate School of Law and Politics and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 41 (533,065)
Citation 1

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interfirm buyer-seller network, aggregate fluctuations, link renewal, longitudinal network, firm growth

192.

An Explicit Mapping of Currency Target Zone Models to Option Prices

Downloads 39 (542,911)
Citation 4

An Explicit Mapping of Currency Target Zone Models to Option Prices

Number of pages: 5 Posted: 16 Nov 2017
Sandro Claudio Lera and Didier Sornette
MIT Media Lab and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 38 (560,148)
Citation 2

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exchange rate dynamics, target zones, option pricing

An Explicit Mapping of Currency Target Zone Models to Option Prices

International Review of Finance, Vol. 19, Issue 4, pp. 919-927, 2019
Number of pages: 9 Posted: 26 May 2020
Sandro Claudio Lera and Didier Sornette
MIT Media Lab and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 1 (849,271)
Citation 1
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193.

Information Processing by Networks of Quantum Decision Makers

Physica A, Vol. 492, pp. 747-766, 2018
Number of pages: 33 Posted: 20 Dec 2017 Last Revised: 02 Sep 2018
Vyacheslav I. Yukalov, E.P. Yukalova and Didier Sornette
Joint Institute for Nuclear Research, Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 32 (579,859)
Citation 1

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Multi-agent society, artificial quantum intelligence, quantum decision theory, multistep decision procedure, dynamics of collective opinion, quantum information networks, intelligence networks, dynamic disjunction effect

194.

Preference Reversal in Quantum Decision Theory

Frontiers in Psychology, Vol. 6, p. 01538, 2015
Number of pages: 15 Posted: 10 Oct 2015
Vyacheslav I. Yukalov and Didier Sornette
Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 32 (579,859)
Citation 1

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195.

Dynamic Transition in Symbiotic Evolution Induced by Growth Rate Variation

International Journal of Bifurcation and Chaos, Vol. 27, p. 1730013, 2017
Number of pages: 16 Posted: 14 Apr 2017
Vyacheslav I. Yukalov, E.P. Yukalova and Didier Sornette
Joint Institute for Nuclear Research, Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 27 (610,028)

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Dynamics of symbiotic populations, growth rate, functional carrying capacity, dynamic transitions, basin of attraction, bifurcation

196.

Population Dynamics with Nonlinear Delayed Carrying Capacity

International Journal of Bifurcation and Chaos, Vol. 24, p. 1450021, 2014
Number of pages: 24 Posted: 09 Mar 2014
Vyacheslav I. Yukalov, E.P. Yukalova and Didier Sornette
Joint Institute for Nuclear Research, Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 26 (616,553)

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197.

Explaining Global Imbalances: The Role of Central Bank Intervention and the Rise of Sovereign Wealth Funds

Review of Keynesian Economics, Forthcoming
Posted: 15 Apr 2020
Richard Senner and Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)

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Global Imbalances, Central Bank Interventions, Sovereign Wealth Funds, Net International Investment Position

198.

Look-Ahead Benchmark Bias in Portfolio Performance Evaluation

Swiss Finance Institute Research Paper No. 08-33, https://doi.org/10.3905/JPM.2009.36.1.121
Posted: 21 May 2019
Gilles Daniel, Didier Sornette and Peter Wohrmann
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and University of Zurich - Swiss Banking Institute (ISB)

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survival bias, look-ahead bias, portfolio optimization, benchmark, investment strategies

199.

Robust Reverse Engineering of Cross Sectional Returns and Improved Portfolio Allocation Performance Using the CAPM

Swiss Finance Institute Research Paper No. 11-03, https://doi.org/10.3905/jpm.2011.37.4.076
Posted: 21 May 2019
Xiaohui Ni, Yannick Malevergne, Didier Sornette and Peter Woehrmann
East China University of Science and Technology (ECUST), Université Paris I Panthéon-Sorbonne - Laboratoire PRISM, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and University of Zurich

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CAPM, Mean-Variance Portfolio Optimization, Constrained Optimization, Fama-French, Value-Size Portfolios, Dynamical Allocation, Expected Returns

200.

Currency Target Zones as Mirrored Options

https://jod.pm-research.com/content/26/3/53
Posted: 18 May 2017 Last Revised: 04 Oct 2019
Sandro Claudio Lera, Matthias Leiss and Didier Sornette
MIT Media Lab, ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)

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Exchange rate dynamics, Target zones, Compound options