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Didier Sornette

Swiss Finance Institute

Professor

c/o University of Geneve

40, Bd du Pont-d'Arve

1211 Geneva, CH-6900

Switzerland

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

Professor

Scheuchzerstrasse 7

Zurich, ZURICH CH-8092

Switzerland

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

  • Swiss Finance Institute

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

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

152

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48,354

CITATIONS
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in Total Papers Citations

318

Scholarly Papers (152)

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1.

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

Downloads 2,083 ( 5,102)
Citation 7

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
Swiss Finance Institute and ETH Zurich
Downloads 1,821 (6,273)
Citation 7

Abstract:

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
Swiss Finance Institute and ETH Zurich
Downloads 262 (94,559)
Citation 7

Abstract:

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

2.

Dragon-Kings, Black Swans and the Prediction of Crises

Downloads 1,479 ( 9,152)
Citation 10

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
Swiss Finance Institute
Downloads 1,285 (11,278)
Citation 10

Abstract:

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
Swiss Finance Institute
Downloads 194 (128,026)
Citation 10

Abstract:

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

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
Swiss Finance Institute and ETH Zurich
Downloads 1,425 (6,923)
Citation 2

Abstract:

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

4.

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 Swiss Finance Institute
Downloads 1,274 (8,874)

Abstract:

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

5.

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 Swiss Finance Institute
Downloads 1,212 (11,241)

Abstract:

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

6.

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 Swiss Finance Institute
Downloads 1,130 (13,342)
Citation 25

Abstract:

Copulas, Dependence Modelisation, Risk Management, Tail Dependence

7.

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 Swiss Finance Institute
Downloads 1,022 (15,392)
Citation 11

Abstract:

8.

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, Swiss Finance Institute and Warsaw University of Technology - Faculty of Physics
Downloads 987 (15,798)

Abstract:

Network, Cascade, Bankruptcy

9.

Predicting Financial Crashes Using Discrete Scale Invariance

Downloads 914 ( 19,437)
Citation 18

Predicting Financial Crashes Using Discrete Scale Invariance

Number of pages: 26 Posted: 28 Apr 2000
Anders Johansen and Didier Sornette
Riso National Laboratory - Wind Energy Department and Swiss Finance Institute
Downloads 914 (19,063)
Citation 18

Abstract:

Predicting Financial Crashes Using Discrete Scale Invariance

Journal of Risk, Vol. 1, 1999
Posted: 28 Apr 2000
Anders Johansen and Didier Sornette
Riso National Laboratory - Wind Energy Department and Swiss Finance Institute

Abstract:

10.

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

Downloads 893 ( 20,096)
Citation 9

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 Paul Cauwels
East China University of Science and Technology (ECUST), East China University of Science and Technology - School of Business, Swiss Finance Institute, ETH Zurich, BNP Paribas and BNP Paribas Fortis
Downloads 697 (28,237)
Citation 9

Abstract:

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 Paul Cauwels
East China University of Science and Technology (ECUST), East China University of Science and Technology - School of Business, Swiss Finance Institute, ETH Zurich, BNP Paribas and BNP Paribas Fortis
Downloads 196 (126,814)
Citation 9

Abstract:

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

11.

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

Downloads 889 ( 20,217)
Citation 4

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 Swiss Finance Institute
Downloads 590 (35,398)
Citation 4

Abstract:

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 Swiss Finance Institute
Downloads 299 (81,636)
Citation 4

Abstract:

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

12.

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 Swiss Finance Institute
Downloads 826 (21,742)
Citation 10

Abstract:

Real estate, Bubble, Econophysics

13.

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
Ca' Foscari University of Venice and Swiss Finance Institute
Downloads 787 (20,254)

Abstract:

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

14.

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 Swiss Finance Institute
Downloads 747 (25,250)
Citation 15

Abstract:

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

15.

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 Swiss Finance Institute
Downloads 696 (24,933)
Citation 2

Abstract:

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

16.

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 Swiss Finance Institute
Downloads 669 (24,248)
Citation 2

Abstract:

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

17.

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

Downloads 620 ( 33,664)

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 Swiss Finance Institute
Downloads 458 (49,168)

Abstract:

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
Number of pages: 21 Posted: 21 Dec 2012
Peter Cauwels and Didier Sornette
ETH Zürich and Swiss Finance Institute
Downloads 162 (151,126)

Abstract:

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

18.

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

Downloads 566 ( 37,995)
Citation 27

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

Review of Financial Studies
Number of pages: 43 Posted: 04 Jun 2000
Pedro Santa-Clara and Didier Sornette
New University of Lisbon - Nova School of Business and Economics and Swiss Finance Institute
Downloads 566 (37,436)
Citation 27

Abstract:

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

Review of Financial Studies, 2000
Posted: 27 Mar 2000
Pedro Santa-Clara and Didier Sornette
New University of Lisbon - Nova School of Business and Economics and Swiss Finance Institute

Abstract:

19.

Multivariate Weibull Distributions for Asset Returns: I

Finance Letters, Vol. 2, No. 6, pp. 16-32, 2005
Number of pages: 17 Posted: 04 May 2005
Yannick Malevergne and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and Swiss Finance Institute
Downloads 548 (37,711)
Citation 2

Abstract:

Distribution of asset returns, copulas, modified Weibull distribution

20.

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 Swiss Finance Institute
Downloads 522 (37,047)
Citation 11

Abstract:

21.

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 Swiss Finance Institute
Downloads 513 (42,133)
Citation 7

Abstract:

22.

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 Swiss Finance Institute
Downloads 506 (39,653)

Abstract:

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

23.

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 Swiss Finance Institute
Downloads 505 (37,047)

Abstract:

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

24.

Significance of Log-Periodic Precursors to Financial Crashes

Downloads 485 ( 46,282)
Citation 15

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 Swiss Finance Institute
Downloads 485 (45,709)
Citation 15

Abstract:

Significance of Log-Periodic Precursors to Financial Crashes

Quantitative Finance, Vol. 1, July 2001
Posted: 30 Jul 2001
Anders Johansen and Didier Sornette
Riso National Laboratory - Wind Energy Department and Swiss Finance Institute

Abstract:

25.

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
Swiss Finance Institute and East China University of Science and Technology - School of Business
Downloads 473 (46,660)
Citation 8

Abstract:

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

26.

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 Zurich, Independent and Swiss Finance Institute
Downloads 470 (3,925)

Abstract:

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

27.

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 Swiss Finance Institute
Downloads 468 (46,410)
Citation 7

Abstract:

28.

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), Swiss Finance Institute and affiliation not provided to SSRN
Downloads 440 (47,883)

Abstract:

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

29.

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

Finance Letters, Vol. 3, No. 1, pp. 54-63, 2005
Number of pages: 10 Posted: 04 May 2005
Yannick Malevergne and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and Swiss Finance Institute
Downloads 428 (50,145)
Citation 4

Abstract:

Distribution of asset returns, copulas, modified Weibull distribution

30.

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
Swiss Finance Institute and East China University of Science and Technology - School of Business
Downloads 424 (49,317)
Citation 1

Abstract:

Econophysics, causality, correlation, thermal average, time series

31.

Large Stock Market Price Drawdowns Are Outliers

Downloads 412 ( 56,594)
Citation 17

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 Swiss Finance Institute
Downloads 412 (56,041)
Citation 17

Abstract:

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 Swiss Finance Institute

Abstract:

Market Crashes, Outliers, Drawdowns

32.

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 Swiss Finance Institute
Downloads 407 (55,117)
Citation 2

Abstract:

Factor model, Nonparametric estimation, Tail dependence

33.

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

Downloads 405 ( 57,798)
Citation 5

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 Swiss Finance Institute
Downloads 405 (57,248)
Citation 5

Abstract:

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

International Journal of Modern Physics C
Posted: 18 Apr 2000
Anders Johansen and Didier Sornette
Riso National Laboratory - Wind Energy Department and Swiss Finance Institute

Abstract:

34.

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 Swiss Finance Institute
Downloads 399 (53,872)
Citation 3

Abstract:

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

35.

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, Swiss Finance Institute and East China University of Science and Technology - School of Business
Downloads 392 (58,724)
Citation 5

Abstract:

Syngernetics, Royal Ahold, Bubble, Critical Zone, Crash

36.

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 Swiss Finance Institute
Downloads 388 (59,242)
Citation 8

Abstract:

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

37.

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
Swiss Finance Institute and Lithophyse
Downloads 386 (44,894)

Abstract:

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

38.

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 Swiss Finance Institute
Downloads 369 (57,798)
Citation 4

Abstract:

39.

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
Swiss Finance Institute
Downloads 360 (48,665)

Abstract:

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

40.

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 Swiss Finance Institute
Downloads 356 (62,232)

Abstract:

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

41.

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 Swiss Finance Institute
Downloads 342 (64,386)

Abstract:

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

42.

Professor Zipf Goes to Wall Street

Downloads 334 ( 72,544)
Citation 6

Professor Zipf Goes to Wall Street

Number of pages: 33 Posted: 21 Aug 2009
Yannick Malevergne, Pedro Santa-Clara and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM, New University of Lisbon - Nova School of Business and Economics and Swiss Finance Institute
Downloads 297 (82,280)
Citation 6

Abstract:

Zipf, APT, firm size

Professor Zipf Goes to Wall Street

NBER Working Paper No. w15295
Number of pages: 34 Posted: 31 Aug 2009
Yannick Malevergne, Pedro Santa-Clara and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM, New University of Lisbon - Nova School of Business and Economics and Swiss Finance Institute
Downloads 37 (373,871)
Citation 6

Abstract:

43.

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 Swiss Finance Institute
Downloads 332 (67,150)

Abstract:

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

44.

Look-Ahead Benchmark Bias in Portfolio Performance Evaluation

Swiss Finance Institute Research Paper No. 08-33
Number of pages: 22 Posted: 27 Oct 2008
Gilles Daniel, Didier Sornette and Peter Wohrmann
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), Swiss Finance Institute and University of Zurich - Swiss Banking Institute (ISB)
Downloads 332 (68,052)
Citation 3

Abstract:

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

45.

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 Swiss Finance Institute
Downloads 326 (69,889)
Citation 1

Abstract:

46.

'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 Swiss Finance Institute
Downloads 323 (70,361)

Abstract:

Risk, bubble, Apollo-Program, United States

47.

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 Zurich, ETH Zürich, ETH Zurich and Swiss Finance Institute
Downloads 295 (67,799)

Abstract:

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

48.

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

Downloads 282 ( 87,747)
Citation 1

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
Swiss Finance Institute, ETH Zurich, ETH Zurich and East China University of Science and Technology - School of Business
Downloads 174 (141,777)
Citation 1

Abstract:

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
Swiss Finance Institute, ETH Zurich, ETH Zurich and East China University of Science and Technology - School of Business
Downloads 108 (209,475)
Citation 1

Abstract:

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

49.

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

Swiss Finance Institute Research Paper No. 11-03
Number of pages: 18 Posted: 01 Feb 2011
Xiaohui Ni, Yannick Malevergne, Didier Sornette and Peter Woehrmann
East China University of Science and Technology (ECUST), Université Paris I Panthéon-Sorbonne - Laboratoire PRISM, Swiss Finance Institute and University of Zurich
Downloads 278 (78,577)
Citation 1

Abstract:

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

50.

Most Efficient Homogeneous Volatility Estimators

Downloads 277 ( 89,475)
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), Swiss Finance Institute and Swiss Federal Institute of Technology Zurich (ETH Zurich)
Downloads 200 (124,422)
Citation 2

Abstract:

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), Swiss Finance Institute and Swiss Federal Institute of Technology Zurich (ETH Zurich)
Downloads 77 (262,202)
Citation 2

Abstract:

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

51.

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
Swiss Finance Institute and ETH Zürich
Downloads 273 (32,360)

Abstract:

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

52.

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, Yannick Malevergne and Didier Sornette
ETH Zurich, D-MTEC, Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and Swiss Finance Institute
Downloads 270 (89,475)
Citation 1

Abstract:

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

53.

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 Zurich, ETH Zurich and Swiss Finance Institute
Downloads 269 (68,738)

Abstract:

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

54.

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 Swiss Finance Institute
Downloads 257 (96,202)
Citation 1

Abstract:

55.

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
Swiss Finance Institute, 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 253 (94,279)
Citation 8

Abstract:

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

56.

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 Zurich, ETH Zurich, ETH Zürich and Swiss Finance Institute
Downloads 249 (47,643)

Abstract:

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

57.

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
Swiss Finance Institute and East China University of Science and Technology - School of Business
Downloads 232 (104,166)
Citation 2

Abstract:

Ising model, overconfidence, imitation and herding, econophysics

58.

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 Swiss Finance Institute
Downloads 229 (97,806)

Abstract:

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

59.

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 Swiss Finance Institute
Downloads 216 (110,713)
Citation 5

Abstract:

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

60.

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 Swiss Finance Institute
Downloads 209 (76,954)

Abstract:

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

61.

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 Swiss Finance Institute
Downloads 182 (131,443)
Citation 7

Abstract:

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

62.

A Theory of Evolution, Fairness, and Altruistic Punishment

Number of pages: 30 Posted: 23 Oct 2011
Moritz Hetzer and Didier Sornette
ETH Zurich and Swiss Finance Institute
Downloads 181 (120,147)
Citation 1

Abstract:

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

63.

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 Swiss Finance Institute
Downloads 181 (128,244)
Citation 1

Abstract:

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

64.

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 Swiss Finance Institute
Downloads 171 (129,474)
Citation 1

Abstract:

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

65.

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 Swiss Finance Institute
Downloads 158 (141,058)
Citation 1

Abstract:

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

66.

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, Swiss Finance Institute and Joint Institute for Nuclear Research
Downloads 147 (158,624)

Abstract:

67.

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 Swiss Finance Institute
Downloads 143 (132,730)

Abstract:

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

68.

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), Swiss Finance Institute, Swiss Federal Institute of Technology Zurich (ETH Zurich) and Ca' Foscari University of Venice
Downloads 143 (156,816)
Citation 2

Abstract:

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

69.

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 Zurich, ETH Zürich and Swiss Finance Institute
Downloads 139 (155,134)

Abstract:

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

70.

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, Swiss Finance Institute and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 139 (159,527)
Citation 1

Abstract:

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

71.

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 Swiss Finance Institute
Downloads 136 (124,136)

Abstract:

Credit creation, Financial crises, Leverage, Liquidity, Confidence

72.

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 Swiss Finance Institute
Downloads 135 (162,329)
Citation 4

Abstract:

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

73.

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 Zurich, ETH Zurich - D-MTEC (Deceased) and Swiss Finance Institute
Downloads 133 (112,681)

Abstract:

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

74.

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, Swiss Finance Institute and ETH Zurich
Downloads 122 (175,826)
Citation 1

Abstract:

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

75.

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), Swiss Finance Institute and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 119 (151,791)

Abstract:

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

76.

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
Swiss Finance Institute and ETH Zurich - D-MTEC (Deceased)
Downloads 119 (185,745)

Abstract:

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

77.

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 Swiss Finance Institute
Downloads 119 (173,822)
Citation 1

Abstract:

City sizes, Gibrat’s law, Zipf’s law

78.

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 Zurich, ETH Zurich and Swiss Finance Institute
Downloads 117 (169,912)
Citation 2

Abstract:

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

79.

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 Swiss Finance Institute
Downloads 115 (165,112)

Abstract:

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

80.

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 Swiss Finance Institute
Downloads 115 (195,328)
Citation 4

Abstract:

81.

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), Swiss Finance Institute and Stock Exchange of Shenzhen
Downloads 114 (191,622)

Abstract:

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

82.

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 Swiss Finance Institute
Downloads 111 (191,622)
Citation 2

Abstract:

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

83.

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 Swiss Finance Institute
Downloads 108 (189,222)
Citation 1

Abstract:

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

84.

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 Swiss Finance Institute
Downloads 106 (208,451)
Citation 1

Abstract:

Econophysics, Antibubble, Causality, Yield, Stock market

85.

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 Swiss Finance Institute
Downloads 99 (211,262)
Citation 3

Abstract:

86.

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 Swiss Finance Institute
Downloads 97 (221,598)

Abstract:

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

87.

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 Swiss Finance Institute
Downloads 95 (205,683)
Citation 1

Abstract:

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

88.

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 Swiss Finance Institute
Downloads 91 (211,262)

Abstract:

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

89.

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

Swiss Finance Institute Research Paper No. 14-53
Number of pages: 37 Posted: 08 Aug 2014 Last Revised: 08 Nov 2014
Spencer Wheatley, Vladimir Filimonov and Didier Sornette
ETH Zurich, Swiss Federal Institute of Technology Zurich (ETH Zurich) and Swiss Finance Institute
Downloads 84 (181,235)

Abstract:

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

90.

A Creepy World

Swiss Finance Institute Research Paper No. 13-55
Number of pages: 18 Posted: 02 Feb 2014
Didier Sornette and Peter Cauwels
Swiss Finance Institute and ETH Zürich
Downloads 84 (167,055)

Abstract:

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

91.

Cooperation by Evolutionary Feedback Selection in Public Good Experiments

Number of pages: 24 Posted: 12 Jan 2007
didier Darcet and Didier Sornette
Insight Research LLC and Swiss Finance Institute
Downloads 79 (244,656)

Abstract:

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

92.

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 Swiss Finance Institute
Downloads 74 (252,061)

Abstract:

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

93.

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 Swiss Finance Institute
Downloads 70 (274,445)
Citation 1

Abstract:

Delay equations, Population dynamics, Punctuated evolution

94.

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, Swiss Finance Institute and Tokyo Institute of Technology
Downloads 65 (252,061)

Abstract:

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

95.

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 Swiss Finance Institute
Downloads 65 (259,752)

Abstract:

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

96.

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 Swiss Finance Institute
Downloads 61 (268,040)
Citation 2

Abstract:

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

97.

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 Zurich, Independent, ETH Zürich and Swiss Finance Institute
Downloads 59 (250,153)

Abstract:

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

98.

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 Swiss Finance Institute
Downloads 57 (295,122)

Abstract:

99.

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

Downloads 49 (327,553)

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 and Douglas R. White
ETH Zürich, Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM), Swiss Finance Institute, Universidad de Alicante - Department of Economic Analysis and University of California, Irvine - Department of Anthropology
Downloads 49 (333,010)
Citation 2

Abstract:

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 and Frank Schweitzer
Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM), Swiss Finance Institute, Universidad de Alicante - Department of Economic Analysis and ETH Zürich

Abstract:

Economic networks

100.

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 Swiss Finance Institute
Downloads 49 (313,235)
Citation 1

Abstract:

101.

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 Swiss Finance Institute
Downloads 47 (276,620)

Abstract:

102.

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 Swiss Finance Institute
Downloads 45 (318,794)

Abstract:

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

103.

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 Swiss Finance Institute
Downloads 45 (318,794)

Abstract:

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

104.

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 Swiss Finance Institute
Downloads 43 (324,596)

Abstract:

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

105.

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 Swiss Finance Institute
Downloads 37 (302,597)

Abstract:

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

106.

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 Swiss Finance Institute
Downloads 34 (302,597)

Abstract:

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

107.

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 Swiss Finance Institute
Downloads 34 (362,424)

Abstract:

108.

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 Swiss Finance Institute
Downloads 34 (369,464)
Citation 1

Abstract:

volatility, stochastic processes, financial markets

109.

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 Swiss Finance Institute
Downloads 28 (336,374)

Abstract:

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

110.

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 Swiss Finance Institute
Downloads 28 (358,974)

Abstract:

111.

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 Zurich and Swiss Finance Institute
Downloads 27 (242,859)

Abstract:

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

112.

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 Valentin Escobar and Didier Sornette
Physics Dept. Universidad Autonoma Metropolitana-Iztapalapa and Swiss Finance Institute
Downloads 27 (366,006)

Abstract:

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

113.

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 Swiss Finance Institute
Downloads 27 (392,830)
Citation 1

Abstract:

114.

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 Swiss Finance Institute
Downloads 26 (376,923)

Abstract:

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

115.

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
Swiss Finance Institute
Downloads 20 (380,699)

Abstract:

social instabilities, nuclear stewardship, innovation, investment

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 Zurich and Swiss Finance Institute
Downloads 19 (173,822)

Abstract:

Exchange rate dynamics, target zone, conditional volatility

117.

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 Swiss Finance Institute
Downloads 17 (358,974)

Abstract:

118.

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 Swiss Finance Institute
Downloads 17 (392,830)

Abstract:

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

119.

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 Swiss Finance Institute
Downloads 15 (376,923)
Citation 4

Abstract:

120.

Population Dynamics with Nonlinear Delayed Carrying Capacity

International Journal of Bifurcation and Chaos, Vol. 24, p. 1450021, 2014
Number of pages: 24 Posted: 09 Mar 2014
Vyacheslav I. Yukalov, E.P. Yukalova and Didier Sornette
Joint Institute for Nuclear Research, Joint Institute for Nuclear Research and Swiss Finance Institute
Downloads 11 (461,678)

Abstract:

121.

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 Zurich and Swiss Finance Institute
Downloads 10 (272,261)

Abstract:

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

122.

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

Number of pages: 17 Posted: 01 Jun 2015 Last Revised: 25 Aug 2016
Ryohei Hisano, Tsutomu Watanabe, Takayuki Mizuno, Takaaki Ohnishi and Didier Sornette
University of Tokyo, University of Tokyo - Graduate School of Economics, Hitotsubashi University, University of Tokyo - Graduate School of Law and Politics and Swiss Finance Institute
Downloads 6 (380,699)

Abstract:

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

123.

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, Swiss Finance Institute and Guangdong University of Foreign Studies
Downloads 0 (330,567)

Abstract:

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

124.

Currency Target Zones as Mirrored Options

Number of pages: 18 Posted: 18 May 2017
Sandro Claudio Lera, Matthias Leiss and Didier Sornette
ETH Zurich, ETH Zurich and Swiss Finance Institute
Downloads 0 (384,632)

Abstract:

Exchange rate dynamics, Target zones, Compound options

125.

Dynamic Transition in Symbiotic Evolution Induced by Growth Rate Variation

International Journal of Bifurcation and Chaos, Vol. 27, p. 1730013, 2017
Number of pages: 16 Posted: 14 Apr 2017
Vyacheslav I. Yukalov, E.P. Yukalova and Didier Sornette
Joint Institute for Nuclear Research, Joint Institute for Nuclear Research and Swiss Finance Institute
Downloads 0 (482,330)

Abstract:

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

126.

The British Pound on Brexit Night: A Natural Experiment of Market Efficiency and Real-Time Predictability

Swiss Finance Institute Research Paper No. 17-12
Number of pages: 38 Posted: 29 Mar 2017
Ke Wu, Spencer Wheatley and Didier Sornette
ETH Zurich - Department of Management, Technology, and Economics (D-MTEC), ETH Zurich and Swiss Finance Institute
Downloads 0 (127,661)

Abstract:

Brexit, efficient market hypothesis, response function, one factor model, prediction, market failure

127.

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 Swiss Finance Institute
Downloads 0 (392,830)

Abstract:

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

128.

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
ETH Zurich, ETH Zurich, ETH Zurich and Swiss Finance Institute
Downloads 0 (330,567)

Abstract:

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

129.

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 Swiss Finance Institute
Downloads 0 (239,405)

Abstract:

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

130.

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

Swiss Finance Institute Research Paper No. 16-61
Number of pages: 38 Posted: 21 Oct 2016
Li Lin and Didier Sornette
East China University of Science and Technology (ECUST) and Swiss Finance Institute
Downloads 0 (74,121)

Abstract:

Financial Bubbles, Momentum, Positive Feedback, Time-Horizon, Quasi-Likelihood, Regime Shifts

131.

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
ETH Zurich and Swiss Finance Institute
Downloads 0 (252,061)

Abstract:

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

132.

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

Swiss Finance Institute Research Paper No. 16-31
Number of pages: 45 Posted: 13 May 2016
Sabine Vincent, Tatyana Kovalenko, Vyacheslav I. Yukalov and Didier Sornette
ETH Zurich, ETH Zurich, Joint Institute for Nuclear Research and Swiss Finance Institute
Downloads 0 (221,598)

Abstract:

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

133.

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 Swiss Finance Institute
Downloads 0 (176,890)

Abstract:

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

134.

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 Zurich and Swiss Finance Institute
Downloads 0 (130,172)

Abstract:

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

135.

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 Swiss Finance Institute
Downloads 0 (376,923)

Abstract:

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

136.

Inconclusive Quantum Measurements and Decisions Under Uncertainty

Frontiers in Physics, Vol. 4, p. 12, 2016
Number of pages: 16 Posted: 18 Apr 2016
Vyacheslav I. Yukalov and Didier Sornette
Joint Institute for Nuclear Research and Swiss Finance Institute
Downloads 0 (406,066)

Abstract:

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

137.

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

Swiss Finance Institute Research Paper No. 16-12
Number of pages: 40 Posted: 01 Mar 2016
Vladimir Filimonov, Guilherme Demos and Didier Sornette
Swiss Federal Institute of Technology Zurich (ETH Zurich), ETH Zurich and Swiss Finance Institute
Downloads 0 (212,681)

Abstract:

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

138.

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 Zurich, Joint Institute for Nuclear Research and Swiss Finance Institute
Downloads 0 (175,826)

Abstract:

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

139.

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
Swiss Finance Institute, ETH Zurich, University of Zurich - Department of Economics, EBS Universität für Wirtschaft und Recht - EBS Business School and ETH Zurich
Downloads 0 (276,620)

Abstract:

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

140.

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 I. Hakan Yetkiner
ETH Zurich, Swiss Finance Institute, Eastern Mediterranean University, University of Pretoria - Department of Economics, Gazi University and Izmir University of Economics
Downloads 0 (85,338)

Abstract:

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

141.

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 Swiss Finance Institute
Downloads 0 (283,336)

Abstract:

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

142.

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 Swiss Finance Institute
Downloads 0 (339,522)

Abstract:

quantum decision making, quantum probability, quantum measurements

143.

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 Zurich and Swiss Finance Institute
Downloads 0 (208,451)

Abstract:

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

144.

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 Zurich, ETH Zurich and Swiss Finance Institute
Downloads 0 (134,169)

Abstract:

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

145.

Statistical Testing of DeMark Technical Indicators on Commodity Futures

Swiss Finance Institute Research Paper No. 15-56
Number of pages: 25 Posted: 06 Dec 2015
Marco Lissandrin, Donnacha Daly and Didier Sornette
ETH Zurich, ETH Zurich and Swiss Finance Institute
Downloads 0 (25,424)

Abstract:

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

146.

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, Peter Cauwels, Vladimir Filimonov and Qunzhi Zhang
Swiss Finance Institute, ETH Zurich, ETH Zurich, ETH Zürich, Swiss Federal Institute of Technology Zurich (ETH Zurich) and ETH Zurich
Downloads 0 (57,098)

Abstract:

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

147.

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

Swiss Finance Institute Research Paper No. 15-45
Number of pages: 38 Posted: 05 Nov 2015
Li Lin and Didier Sornette
East China University of Science and Technology (ECUST) and Swiss Finance Institute
Downloads 0 (268,040)

Abstract:

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

148.

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, Qunzhi Zhang and Didier Sornette
ETH Zurich, ETH Zurich and Swiss Finance Institute
Downloads 0 (99,006)

Abstract:

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

149.

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 Swiss Finance Institute
Downloads 0 (456,657)

Abstract:

150.

Predicting Financial Market Crashes Using Ghost Singularities

Swiss Finance Institute Research Paper No. 17-23
Number of pages: 21
Swiss Finance Institute RPS Submitter, Damian Smug, Peter Ashwin and Didier Sornette
Swiss Finance Institute, affiliation not provided to SSRN, University of Exeter and Swiss Finance Institute
Downloads 0

Abstract:

financial markets, state space models, price forecasting, simulation, bifurcation theory, finite-time singularity

151.

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

Swiss Finance Institute Research Paper No. 17-21
Number of pages: 19
Michael Schatz and Didier Sornette
ETH Zurich and Swiss Finance Institute
Downloads 0

Abstract:

Uniformly integrable martingales, Local martingales, Single jump, Explosive diffusion processes, Financial bubbles

152.

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
Richard Senner and Didier Sornette
affiliation not provided to SSRN and Swiss Finance Institute
Downloads 0

Abstract:

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

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