Spencer Wheatley

ETH Zürich

Rämistrasse 101

ZUE F7

Zürich, 8092

Switzerland

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 18,497

SSRN RANKINGS

Top 18,497

in Total Papers Downloads

3,220

SSRN CITATIONS
Rank 46,820

SSRN RANKINGS

Top 46,820

in Total Papers Citations

9

CROSSREF CITATIONS

5

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, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich, ETH Zürich and D ONE Solutions AG
Downloads 1,707 (11,887)
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 ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 752 (39,913)
Citation 5

Abstract:

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Prediction, natural experiment, market failure, efficient market hypothesis

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 Zürich, Swiss Federal Institute of Technology Zurich (ETH Zurich) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 183 (196,859)
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.

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 ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 175 (204,654)
Citation 3

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 Zürich, ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 162 (218,486)
Citation 4

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 Zürich and ETH Zürich
Downloads 122 (273,799)
Citation 2

Abstract:

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

7.

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 ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 119 (278,732)
Citation 1

Abstract:

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