Michael Schatz

ETH Zürich

Rämistrasse 101

ZUE F7

Zürich, 8092

Switzerland

SCHOLARLY PAPERS

4

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6

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1

Scholarly Papers (4)

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1.

Inefficient Bubbles and Efficient Drawdowns in Financial Markets

Swiss Finance Institute Research Paper No. 18-49
Number of pages: 57 Posted: 16 Jul 2018 Last Revised: 17 Apr 2020
Michael Schatz and Didier Sornette
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 692 (57,107)
Citation 3

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Financial Bubbles, Financial Crashes, Explosive processes, Bubble decomposition, Strict local martingale approach, Infinite horizon bubbles

2.

A Simple Mechanism for Financial Bubbles: Time-Varying Momentum Horizon

Swiss Finance Institute Research Paper No. 16-61
Number of pages: 39 Posted: 21 Oct 2016 Last Revised: 18 Jun 2018
Li Lin, Michael Schatz and Didier Sornette
East China University of Science and Technology (ECUST), ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 666 (60,026)
Citation 4

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financial bubbles, momentum, positive feedback, time-horizon, quasi-likelihood, finite-time-singularity

3.

Interpreting, Analysing and Modelling COVID-19 Mortality Data

Swiss Finance Institute Research Paper No. 20-27
Number of pages: 109 Posted: 30 Apr 2020 Last Revised: 04 Aug 2020
Didier Sornette, Michael Schatz, Euan Mearns, Ke Wu, Ke Wu and Didier Darcet
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich, Academic Guest at the Department of Management, Technology, and Economics, ETH Zurich, ETH Zurich - Department of Management, Technology, and Economics (D-MTEC)Southern University of Science and Technology and Gavekal Intelligence Software (Gavekal-IS)
Downloads 352 (129,347)
Citation 3

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COVID-19 epidemic; mortality; life expectancy; stringency of confinement measures; logistic equation; outbreak progress

4.

Uniform Integrability of a Single Jump Local Martingale with State-Dependent Characteristics

Swiss Finance Institute Research Paper No. 17-21
Number of pages: 19 Posted: 23 Jun 2017
Michael Schatz and Didier Sornette
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 116 (354,611)

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Uniformly Integrable Martingales, Local Martingales, Single Jump, Explosive Diffusion Processes, Financial Bubbles