Guilherme Demos

ETH Zürich

Rämistrasse 101

ZUE F7

Zürich, 8092

Switzerland

SCHOLARLY PAPERS

4

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Top 29,541

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1,716

SSRN CITATIONS

7

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

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
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich, ETH Zürich, ETH Zürich, Swiss Federal Institute of Technology Zurich (ETH Zurich) and ETH Zürich
Downloads 935 (26,227)
Citation 7

Abstract:

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

2.

On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-Scale Indicators

Quantitative Finance, Forthcoming.
Number of pages: 18 Posted: 28 Nov 2017 Last Revised: 23 Sep 2018
Riza Demirer, Guilherme Demos, Rangan Gupta and Didier Sornette
Southern Illinois University Edwardsville - Department of Economics & Finance, ETH Zürich, University of Pretoria - Department of Economics and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 363 (89,004)

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Financial bubble indicators, LPPL method, Markov switching, Predictability, Short interest

3.

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 Zürich, ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 261 (127,484)

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

4.

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 Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 157 (204,116)
Citation 3

Abstract:

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