Spencer Wheatley

ETH Zurich

Rämistrasse 101

ZUE F7

Zürich, 8092

Switzerland

SCHOLARLY PAPERS

3

DOWNLOADS

382

CITATIONS

0

Scholarly Papers (3)

1.

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 (181,295)

Abstract:

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

2.

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 (246,802)

Abstract:

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

3.

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 (144,655)

Abstract:

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