Spencer Wheatley

ETH Zurich

Rämistrasse 101

ZUE F7

Zürich, 8092

Switzerland

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 19,260

SSRN RANKINGS

Top 19,260

in Total Papers Downloads

2,458

CITATIONS

3

Scholarly Papers (6)

1.

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
ETH Zurich, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zurich, ETH Zurich and D ONE Solutions AG
Downloads 1,337 (13,834)
Citation 4

Abstract:

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

2.

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 ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 635 (40,484)
Citation 2

Abstract:

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

3.

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 ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 155 (189,024)

Abstract:

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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.

4.

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 ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 141 (204,235)
Citation 1

Abstract:

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

5.

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 Zurich, ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 98 (267,005)

Abstract:

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

6.

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

Swiss Finance Institute Research Paper No. 19-25
Number of pages: 43 Posted: 25 Apr 2019 Last Revised: 29 Apr 2019
Didier Sornette, Spencer Wheatley and Peter Cauwels
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zurich and ETH Zurich
Downloads 92 (278,121)

Abstract:

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