Spencer Wheatley

ETH Zürich

Rämistrasse 101

ZUE F7

Zürich, 8092

Switzerland

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 24,255

SSRN RANKINGS

Top 24,255

in Total Papers Downloads

4,484

TOTAL CITATIONS
Rank 44,858

SSRN RANKINGS

Top 44,858

in Total Papers Citations

32

Scholarly Papers (7)

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 Zürich, Risks-X, Southern University of Science and Technology (SUSTech), ETH Zürich, ETH Zürich and D ONE Solutions AG
Downloads 2,248 (14,452)
Citation 10

Abstract:

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

2.

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, Spencer Wheatley and Didier Sornette
Southern University of Science and Technology, ETH Zürich and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 853 (61,073)
Citation 5

Abstract:

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Prediction, natural experiment, market failure, efficient market hypothesis

3.

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, Swiss National Bank and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 348 (183,796)
Citation 7

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

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 Zürich and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 292 (221,845)

Abstract:

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

5.

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
Swiss National Bank, ETH Zürich and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 287 (225,880)
Citation 5

Abstract:

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

6.

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 261 (248,932)
Citation 3

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.

7.

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 195 (329,715)
Citation 2

Abstract:

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