Didier Sornette

Risks-X, Southern University of Science and Technology (SUSTech)

Chair Professor

1088 Xueyuan Avenue

Shenzhen, Guangdong 518055

China

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

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

Professor em.

Scheuchzerstrasse 7

Zurich, ZURICH CH-8092

Switzerland

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

Tokyo Institute of Technology

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

Tokyo 152-8550, 52-8552

Japan

  • Risks-X, Southern University of Science and Technology (SUSTech)

  • Swiss Finance Institute

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

    • Email
    • Tel: 41446328917
    • Fax: 41446321914

  • Tokyo Institute of Technology

SCHOLARLY PAPERS

208

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94,905

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529

CROSSREF CITATIONS

413

Scholarly Papers (208)

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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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 4,506 (3,790)
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
Risks-X, Southern University of Science and Technology (SUSTech), ETH Zürich and ETH Zurich
Downloads 3,946 (4,733)
Citation 5

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

3.

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
Risks-X, Southern University of Science and Technology (SUSTech) and ETH Zurich
Downloads 2,552 (9,562)
Citation 43

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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.

4.

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

Downloads 2,512 ( 9,792)
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
Risks-X, Southern University of Science and Technology (SUSTech) and ETH Zurich
Downloads 2,072 (13,112)
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
Risks-X, Southern University of Science and Technology (SUSTech) and ETH Zurich
Downloads 440 (113,589)
Citation 16

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

5.

Dragon-Kings, Black Swans and the Prediction of Crises

Downloads 2,489 ( 9,957)
Citation 16

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
Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 2,082 (13,030)
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
Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 407 (124,580)
Citation 67

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

6.

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
Risks-X, Southern University of Science and Technology (SUSTech) and ETH Zürich
Downloads 2,022 (13,904)
Citation 20

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

7.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 2,019 (13,934)
Citation 3

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

8.

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, Risks-X, Southern University of Science and Technology (SUSTech), ETH Zürich, ETH Zürich and D ONE Solutions AG
Downloads 1,988 (14,289)
Citation 10

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

9.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 1,895 (15,385)
Citation 2

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

10.

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
Risks-X, Southern University of Science and Technology (SUSTech), ETH Zürich, ETH ZürichGuangdong University of Foreign Studies, ETH Zürich, Swiss Federal Institute of Technology Zurich (ETH Zurich) and ETH Zürich
Downloads 1,827 (16,313)
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

11.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 1,479 (22,561)
Citation 13

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

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 1,271 (28,258)
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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 1,242 (29,224)
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, Risks-X, Southern University of Science and Technology (SUSTech) and Warsaw University of Technology - Faculty of Physics
Downloads 1,226 (29,751)
Citation 3

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Network, Cascade, Bankruptcy

15.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 1,118 (33,983)
Citation 7

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

16.

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

Downloads 1,079 (35,755)
Citation 16

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, Risks-X, Southern University of Science and Technology (SUSTech), ETH Zurich, BNP Paribas and ETH Zürich
Downloads 801 (53,340)
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, Risks-X, Southern University of Science and Technology (SUSTech), ETH Zurich, BNP Paribas and ETH Zürich
Downloads 278 (188,615)
Citation 7

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

17.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 1,076 (35,895)
Citation 7

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

18.

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

Downloads 1,074 (35,986)
Citation 9

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 712 (62,464)
Citation 13

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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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 362 (142,393)
Citation 2

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

19.

Polytope Fraud Theory

Swiss Finance Institute Research Paper No. 22-41
Number of pages: 64 Posted: 24 May 2022
Dongshuai Zhao, Zhongli Wang, Florian Schweizer-Gamborino and Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), Bielefeld University, PwC Switzerland and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 1,004 (39,631)

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fraud risk assessment, financial fraud, fraud detection, machine learning

20.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 994 (40,185)
Citation 2

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

21.

Swiss Electricity Supply and Demand in 2017 and 2050. Is the Swiss 2050 energy plan viable?

Swiss Finance Institute Research Paper No. 22-56, 2022
Number of pages: 38 Posted: 01 Jul 2022 Last Revised: 06 Jul 2022
Euan Mearns and Didier Sornette
Academic Guest at the Department of Management, Technology, and Economics, ETH Zurich and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 918 (44,912)

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Switzerland, energy transition, nuclear, solar, storage , viability, costs

22.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 912 (45,326)
Citation 6

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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

23.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 902 (45,979)
Citation 12

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Real estate, Bubble, Econophysics

24.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 862 (48,943)
Citation 11

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

25.

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
European Central Bank (ECB) and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 830 (51,591)
Citation 4

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

26.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 822 (52,305)
Citation 5

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Prediction, natural experiment, market failure, efficient market hypothesis

27.

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 and Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 815 (52,897)
Citation 3

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

28.

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, Risks-X, Southern University of Science and Technology (SUSTech), University of New Haven, University of Pretoria - Department of Economics, Economic Research Forum (ERF) and Izmir University of Economics
Downloads 801 (54,118)
Citation 6

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

29.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 787 (55,415)
Citation 18

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30.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 784 (55,682)
Citation 1

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

31.

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

Downloads 753 (58,779)

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
Nova School of Business and Economics and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 753 (57,931)
Citation 14

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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
Nova School of Business and Economics and Risks-X, Southern University of Science and Technology (SUSTech)

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32.

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
affiliation not provided to SSRN and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 747 (59,440)
Citation 3

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

33.

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

Swiss Finance Institute Research Paper No. 12-02
Number of pages: 24 Posted: 06 Feb 2012
Vladimir Filimonov and Didier Sornette
Swiss Federal Institute of Technology Zurich (ETH Zurich) and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 743 (59,860)
Citation 10

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

34.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 714 (63,126)
Citation 2

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

35.

Significance of Log-Periodic Precursors to Financial Crashes

Downloads 708 (63,846)

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 708 (62,933)
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 Risks-X, Southern University of Science and Technology (SUSTech)

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36.

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
Risks-X, Southern University of Science and Technology (SUSTech) and Lithophyse
Downloads 695 (65,332)
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

37.

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), affiliation not provided to SSRN and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 692 (65,703)
Citation 4

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

38.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 678 (67,469)
Citation 6

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

39.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 667 (68,861)

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Distribution of asset returns, copulas, modified Weibull distribution

40.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 665 (69,118)

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

41.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 656 (70,359)

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

42.

Bubbles for Fama from Sornette

Swiss Finance Institute Research Paper No. 21-94
Number of pages: 75 Posted: 30 Dec 2021 Last Revised: 27 Sep 2022
Dongshuai Zhao and Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 642 (72,336)

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Bubbles, Log-periodic power law singularity, Confidence indicator, Bubble crash, drawdown

43.

Large Stock Market Price Drawdowns are Outliers

Downloads 639 (72,794)

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 639 (71,846)
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 Risks-X, Southern University of Science and Technology (SUSTech)

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Market Crashes, Outliers, Drawdowns

44.

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
Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 633 (73,630)
Citation 21

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

45.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 632 (73,751)

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

46.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 626 (74,609)
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

47.

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
Risks-X, Southern University of Science and Technology (SUSTech) and East China University of Science and Technology - School of Business
Downloads 605 (77,822)
Citation 1

Abstract:

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Econophysics, causality, correlation, thermal average, time series

48.

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, Risks-X, Southern University of Science and Technology (SUSTech) and University of Surrey - Surrey Business School
Downloads 583 (81,470)
Citation 2

Abstract:

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

49.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 582 (81,623)
Citation 7

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50.

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), Risks-X, Southern University of Science and Technology (SUSTech) and affiliation not provided to SSRN
Downloads 552 (87,274)
Citation 2

Abstract:

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

51.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 547 (88,234)
Citation 8

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52.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 537 (90,383)

Abstract:

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Distribution of asset returns, copulas, modified Weibull distribution

53.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 534 (90,997)

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

54.

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
Risks-X, Southern University of Science and Technology (SUSTech) and East China University of Science and Technology - School of Business
Downloads 527 (92,495)
Citation 7

Abstract:

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

55.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 517 (94,707)
Citation 5

Abstract:

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56.

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

Downloads 515 (95,110)
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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 515 (94,100)
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 Risks-X, Southern University of Science and Technology (SUSTech)

Abstract:

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

57.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 510 (96,271)
Citation 8

Abstract:

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

58.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 508 (96,745)
Citation 3

Abstract:

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

59.

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, Risks-X, Southern University of Science and Technology (SUSTech) and Guangdong University of Foreign Studies
Downloads 499 (98,824)

Abstract:

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

60.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 497 (99,301)
Citation 8

Abstract:

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

61.

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

Downloads 494 (100,071)
Citation 8

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 494 (99,036)
Citation 8

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 Risks-X, Southern University of Science and Technology (SUSTech)

Abstract:

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62.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 483 (102,869)
Citation 9

Abstract:

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

63.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 476 (104,690)

Abstract:

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

64.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 470 (106,253)
Citation 9

Abstract:

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

65.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 469 (106,514)
Citation 2

Abstract:

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Factor model, Nonparametric estimation, Tail dependence

66.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 456 (110,146)
Citation 6

Abstract:

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

67.

Professor Zipf Goes to Wall Street

Downloads 450 (111,837)
Citation 1

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, Nova School of Business and Economics and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 371 (138,511)
Citation 1

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: 17 Apr 2023
Yannick Malevergne, Pedro Santa-Clara and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM, Nova School of Business and Economics and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 79 (529,735)

Abstract:

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68.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 448 (112,444)

Abstract:

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

69.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 444 (113,606)
Citation 2

Abstract:

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

70.

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, Risks-X, Southern University of Science and Technology (SUSTech) and East China University of Science and Technology - School of Business
Downloads 440 (114,795)
Citation 2

Abstract:

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Syngernetics, Royal Ahold, Bubble, Critical Zone, Crash

71.

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
European Central Bank (ECB) and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 434 (116,700)
Citation 2

Abstract:

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Financial Crises, Collateral, Credit Creation, Housing Wealth

72.

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

Downloads 434 (116,700)
Citation 2

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
Risks-X, Southern University of Science and Technology (SUSTech), ETH Zurich, ETH Zurich and East China University of Science and Technology - School of Business
Downloads 254 (206,730)
Citation 2

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
Risks-X, Southern University of Science and Technology (SUSTech), ETH Zurich, ETH Zurich and East China University of Science and Technology - School of Business
Downloads 180 (285,676)
Citation 2

Abstract:

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

73.

'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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 427 (118,952)
Citation 1

Abstract:

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Risk, bubble, Apollo-Program, United States

74.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 425 (119,626)
Citation 1

Abstract:

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

75.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 419 (121,639)
Citation 11

Abstract:

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

76.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 398 (129,047)
Citation 4

Abstract:

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77.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 393 (130,879)
Citation 1

Abstract:

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Credit creation, Financial crises, Leverage, Liquidity, Confidence

78.

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, Risks-X, Southern University of Science and Technology (SUSTech), Southern University of Science and Technology and Risk Lighthouse, USA
Downloads 388 (132,770)
Citation 3

Abstract:

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

79.

Most Efficient Homogeneous Volatility Estimators

Downloads 383 (134,804)
Citation 2

Most Efficient Homogeneous Volatility Estimators

Swiss Finance Institute Research Paper No. 09-35
Number of pages: 21 Posted: 09 Sep 2009
Alexander I. Saichev, Didier Sornette and Vladimir Filimonov
ETH Zurich - D-MTEC (Deceased), Risks-X, Southern University of Science and Technology (SUSTech) and Swiss Federal Institute of Technology Zurich (ETH Zurich)
Downloads 274 (191,505)
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), Risks-X, Southern University of Science and Technology (SUSTech) and Swiss Federal Institute of Technology Zurich (ETH Zurich)
Downloads 109 (427,829)
Citation 2

Abstract:

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

80.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 380 (135,948)
Citation 1

Abstract:

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

81.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 379 (136,349)

Abstract:

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

82.

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, Didier Sornette and Moris Simon Strub
University of Copenhagen, Risks-X, Southern University of Science and Technology (SUSTech) and University of Warwick - Warwick Business School
Downloads 367 (141,273)

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

83.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 367 (141,273)
Citation 7

Abstract:

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

84.

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
Risks-X, Southern University of Science and Technology (SUSTech) and ETH Zürich
Downloads 362 (143,476)
Citation 1

Abstract:

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

85.

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
Risks-X, Southern University of Science and Technology (SUSTech), affiliation not provided to SSRN, Academic Guest at the Department of Management, Technology, and Economics, ETH Zurich, ETH Zurich - Department of Management, Technology, and Economics (D-MTEC)Southern University of Science and Technology and Gavekal Intelligence Software (Gavekal-IS)
Downloads 359 (144,753)
Citation 3

Abstract:

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

86.

Rational Belief Bubbles

Downloads 357 (145,621)
Citation 2

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 183 (281,560)

Abstract:

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

Rational Belief Bubbles

Number of pages: 31 Posted: 23 May 2018
H. Sohn and Didier Sornette
ETH Zürich and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 174 (294,482)
Citation 1

Abstract:

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

87.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 346 (150,628)

Abstract:

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

88.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 332 (157,449)
Citation 1

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

89.

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
Risks-X, Southern University of Science and Technology (SUSTech), 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 324 (161,675)
Citation 5

Abstract:

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

90.

“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 Zürich, ETH Zürich and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 323 (162,180)

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

91.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 320 (163,788)
Citation 1

Abstract:

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

92.

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, Risks-X, Southern University of Science and Technology (SUSTech) and ETH Zürich
Downloads 316 (166,004)

Abstract:

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

93.

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

Swiss Finance Institute Research Paper No. 14-48
Number of pages: 33 Posted: 20 Jul 2014 Last Revised: 07 Apr 2015
Vladimir Filimonov and Didier Sornette
Swiss Federal Institute of Technology Zurich (ETH Zurich) and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 302 (174,040)
Citation 4

Abstract:

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

94.

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
European Central Bank (ECB) and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 300 (175,256)
Citation 1

Abstract:

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

95.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 296 (177,754)
Citation 1

Abstract:

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96.

A Theory of Evolution, Fairness, and Altruistic Punishment

Number of pages: 30 Posted: 23 Oct 2011
Moritz Hetzer and Didier Sornette
ETH Zurich and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 294 (179,064)
Citation 3

Abstract:

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

97.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 289 (182,286)
Citation 7

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

98.

A Creepy World

Swiss Finance Institute Research Paper No. 13-55
Number of pages: 18 Posted: 02 Feb 2014
Didier Sornette and Peter Cauwels
Risks-X, Southern University of Science and Technology (SUSTech) and ETH Zürich
Downloads 289 (182,286)
Citation 1

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

99.

On the Directional Destabilizing Feedback Effects of Option Hedging

Swiss Finance Institute Research Paper No. 22-34
Number of pages: 37 Posted: 20 Apr 2022 Last Revised: 22 Apr 2022
Didier Sornette, Florian Ulmann and Alexander Wehrli
Risks-X, Southern University of Science and Technology (SUSTech), ETH Zürich and ETH Zürich
Downloads 286 (184,237)

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option hedging, frictions, feedback effects, instability, drift burst

100.

The excess volatility puzzle explained by financial noise amplification from endogenous feedbacks

Swiss Finance Institute Research Paper No. 21-35
Number of pages: 27 Posted: 18 May 2021 Last Revised: 05 Apr 2022
Alexander Wehrli and Didier Sornette
ETH Zürich and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 285 (184,893)
Citation 1

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

101.

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
Risks-X, Southern University of Science and Technology (SUSTech) and East China University of Science and Technology - School of Business
Downloads 283 (186,203)
Citation 4

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Ising model, overconfidence, imitation and herding, econophysics

102.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 266 (198,331)
Citation 6

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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

103.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 261 (202,060)

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

104.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 256 (206,029)
Citation 12

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

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 255 (206,868)
Citation 6

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

106.

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

Journal of Physics Complexity, Vol. 4, 015009, 2023, Swiss Finance Institute Research Paper No. 16-31
Number of pages: 53 Posted: 13 May 2016 Last Revised: 14 Mar 2023
Tatyana Kovalenko, Sabine Vincent, Vyacheslav I. Yukalov and Didier Sornette
ETH Zurich, ETH Zurich, Joint Institute for Nuclear Research and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 252 (209,167)
Citation 5

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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

107.

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 Connection Science, Risks-X, Southern University of Science and Technology (SUSTech) and ETH Zürich
Downloads 248 (212,458)

Abstract:

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circuit breaker, trading halt, magnet effect

108.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 248 (212,458)

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

109.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 247 (213,365)

Abstract:

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

110.

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), Risks-X, Southern University of Science and Technology (SUSTech) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 247 (213,365)
Citation 1

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

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 247 (213,365)
Citation 22

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

112.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 246 (214,236)
Citation 9

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

113.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 241 (218,562)
Citation 11

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

114.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 239 (220,308)
Citation 1

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

115.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 231 (227,792)
Citation 3

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

116.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 227 (231,601)
Citation 9

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Exchange rate dynamics, target zone, conditional volatility

117.

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

Swiss Finance Institute Research Paper No. 14-53
Number of pages: 37 Posted: 08 Aug 2014 Last Revised: 08 Nov 2014
Spencer Wheatley, Vladimir Filimonov and Didier Sornette
ETH Zürich, Swiss Federal Institute of Technology Zurich (ETH Zurich) and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 227 (231,601)
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.

118.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 227 (231,601)
Citation 5

Abstract:

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

119.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 222 (236,524)
Citation 6

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

120.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 221 (237,542)

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

121.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 221 (237,542)
Citation 3

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

122.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 216 (242,627)
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

123.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 215 (243,689)

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

124.

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, Risks-X, Southern University of Science and Technology (SUSTech) and Government of Canada - Bank of Canada
Downloads 214 (244,810)
Citation 3

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

125.

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), Risks-X, Southern University of Science and Technology (SUSTech), Swiss Federal Institute of Technology Zurich (ETH Zurich) and University of Pisa - Department of Economics
Downloads 209 (250,213)

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

126.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 207 (252,344)
Citation 12

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City sizes, Gibrat’s law, Zipf’s law

127.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 204 (255,790)
Citation 5

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

128.

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

Swiss Finance Institute Research Paper No. 16-12
Number of pages: 40 Posted: 01 Mar 2016
Vladimir Filimonov, Guilherme Demos and Didier Sornette
Swiss Federal Institute of Technology Zurich (ETH Zurich), ETH Zürich and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 201 (259,199)
Citation 5

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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

129.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 200 (260,426)
Citation 1

Abstract:

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

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 198 (262,770)
Citation 1

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

131.

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, Risks-X, Southern University of Science and Technology (SUSTech) and Joint Institute for Nuclear Research
Downloads 198 (262,770)

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132.

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

Swiss Finance Institute Research Paper No. 13-60
Number of pages: 39 Posted: 24 Dec 2013
Vladimir Filimonov and Didier Sornette
Swiss Federal Institute of Technology Zurich (ETH Zurich) and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 196 (265,127)
Citation 13

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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

133.

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, Risks-X, Southern University of Science and Technology (SUSTech) and ETH Zürich
Downloads 195 (266,358)

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

134.

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
European Central Bank (ECB) and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 193 (268,886)

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

135.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 192 (270,182)
Citation 1

Abstract:

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

136.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 182 (283,202)

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

137.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 182 (283,202)
Citation 5

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

138.

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, Risks-X, Southern University of Science and Technology (SUSTech) and ETH Zurich
Downloads 175 (293,155)
Citation 3

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

139.

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
Risks-X, Southern University of Science and Technology (SUSTech) and ETH Zurich - D-MTEC (Deceased)
Downloads 174 (294,654)
Citation 1

Abstract:

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

140.

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), Risks-X, Southern University of Science and Technology (SUSTech) and Stock Exchange of Shenzhen
Downloads 173 (296,213)
Citation 1

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

141.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 169 (302,010)

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

142.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 165 (308,258)

Abstract:

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143.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 161 (314,770)
Citation 1

Abstract:

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

144.

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
Risks-X, Southern University of Science and Technology (SUSTech), ETH Zürich, Academic Guest at the Department of Management, Technology, and Economics, ETH Zurich and ETH Zurich - Department of Management, Technology, and Economics (D-MTEC)Southern University of Science and Technology
Downloads 159 (318,155)

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

145.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 159 (318,155)
Citation 1

Abstract:

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

146.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 158 (319,830)

Abstract:

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

147.

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
Risks-X, Southern University of Science and Technology (SUSTech), ETH Zürich and ETH Zürich
Downloads 158 (319,830)
Citation 2

Abstract:

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

148.

Non-Normal Interactions Create Socio-Economic Bubbles

Swiss Finance Institute Research Paper No. 22-43
Number of pages: 29 Posted: 24 May 2022 Last Revised: 28 Aug 2023
Didier Sornette, Sandro Claudio Lera, Jianhong Lin, Ke Wu and Ke Wu
Risks-X, Southern University of Science and Technology (SUSTech), MIT Connection Science, ETH Zürich and ETH Zurich - Department of Management, Technology, and Economics (D-MTEC)Southern University of Science and Technology
Downloads 155 (325,072)
Citation 4

Abstract:

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financial bubbles, non-normal matrices, social networks, sub-criticality, hierarchical networks, anticipating tipping points

149.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 154 (326,808)
Citation 4

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

150.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 152 (330,380)
Citation 3

Abstract:

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

151.

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, Risks-X, Southern University of Science and Technology (SUSTech) and Tokyo Institute of Technology
Downloads 148 (337,595)

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

152.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 147 (339,487)
Citation 5

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153.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 145 (345,073)
Citation 2

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154.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 144 (345,073)

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

155.

'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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 144 (345,073)
Citation 2

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

156.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 143 (347,008)
Citation 1

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Hot Hand Effect, Gambler's Fallacy

157.

Comprehensive empirical assessment of nuclear power risks

Swiss Finance Institute Research Paper No. 22-69
Number of pages: 15 Posted: 12 Sep 2022
Ali Ayoub and Didier Sornette
Massachusetts Institute of Technology (MIT) and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 142 (348,977)

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nuclear energy, probabilistic safety assessment, accident precursors, dragon kings, operational risks, open-source database

158.

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, Risks-X, Southern University of Science and Technology (SUSTech) and University of Exeter
Downloads 140 (352,845)

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

159.

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 Connection Science and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 136 (360,930)

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

160.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 135 (362,898)
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Econophysics, Antibubble, Causality, Yield, Stock market

161.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 130 (373,538)

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

162.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 129 (375,717)

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

163.

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
affiliation not provided to SSRN and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 128 (377,942)

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

164.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 127 (380,120)

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

165.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 125 (384,820)

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

166.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 124 (387,172)
Citation 1

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

167.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 123 (389,527)
Citation 2

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

168.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 122 (391,913)
Citation 4

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

169.

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

Downloads 119 (399,077)

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), Risks-X, Southern University of Science and Technology (SUSTech), Bocconi UniversityUniversidad de Alicante - Department of Economic AnalysisEuropean University Institute and University of California, Irvine - Department of Anthropology
Downloads 119 (400,809)
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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), Risks-X, Southern University of Science and Technology (SUSTech), Bocconi UniversityUniversidad de Alicante - Department of Economic AnalysisEuropean University Institute and ETH Zürich

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Economic networks

170.

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
Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 118 (401,525)

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social instabilities, nuclear stewardship, innovation, investment

171.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 117 (404,059)
Citation 2

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

172.

Cooperation by Evolutionary Feedback Selection in Public Good Experiments

Number of pages: 24 Posted: 12 Jan 2007
Didier Darcet and Didier Sornette
Gavekal Intelligence Software (Gavekal-IS) and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 117 (404,059)
Citation 2

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

173.

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
Risks-X, Southern University of Science and Technology (SUSTech), ETH Zürich, University of Zurich - Department of Economics, EBS Universität für Wirtschaft und Recht - EBS Business School and ETH Zürich
Downloads 115 (409,162)

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

174.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 107 (431,132)
Citation 1

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Delay equations, Population dynamics, Punctuated evolution

175.

Agent-based Model Generating Stylized Facts of Fixed Income Markets

Swiss Finance Institute Research Paper No. 22-37, Journal of Economic Interaction and Coordination, forthcoming
Number of pages: 41 Posted: 29 Apr 2022
Antoine Kopp, Rebecca Westphal and Didier Sornette
ETH Zürich, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 103 (442,989)

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Agent-based model, stylized facts, transient phenomena, fixed-income, yield curve.

176.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 97 (461,437)

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

177.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 93 (474,254)
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quantum decision making, quantum probability, quantum measurements

178.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 92 (477,552)
Citation 1

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

179.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 90 (484,093)

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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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 84 (505,173)
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181.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 81 (516,219)

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182.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 80 (520,022)

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

183.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 80 (520,022)
Citation 1

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184.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 78 (527,803)

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

185.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 77 (531,789)

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

186.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 74 (544,020)

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

187.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 73 (548,064)
Citation 2

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

188.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 73 (548,064)
Citation 2

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

189.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 72 (552,328)
Citation 10

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190.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 69 (565,089)
Citation 4

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191.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 65 (583,186)
Citation 2

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192.

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 Connection Science and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 61 (602,036)
Citation 2

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exchange rate dynamics, target zones, option pricing

193.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 61 (602,036)
Citation 15

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194.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 61 (602,036)
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volatility, stochastic processes, financial markets

195.

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 Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 59 (612,032)

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196.

A Parsimonious Inverse Cox-Ingersoll-Ross Process for Financial Price Modeling

Swiss Finance Institute Research Paper No. 23-41
Number of pages: 49 Posted: 28 Feb 2023 Last Revised: 09 Jun 2023
Li Lin and Didier Sornette
East China University of Science and Technology (ECUST) and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 57 (622,356)

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asset pricing, financial risks, financial bubbles, excess volatility, fat tail distribution of returns, equity puzzle, earning yield, earning-over-price

197.

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 Risks-X, Southern Univ