J-C Gerlach

ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)

PhD Student

Scheuchzerstrasse 7

SEC

Zürich, 8092

Switzerland

  • ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

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1.

Forecasting Financial Crashes: A Dynamic Risk Management Approach

Swiss Finance Institute Research Paper No. 20-103
Number of pages: 18 Posted: 15 Dec 2020 Last Revised: 04 Jan 2021
J-C Gerlach, Dongshuai Zhao CFA and Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 760 (53,551)
Citation 2

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Financial Bubbles, Crashes, Forecasting, LPPLS Model, Dynamic Risk Management, Confidence Indicator

2.

Dissection of Bitcoin's Multiscale Bubble History

Swiss Finance Institute Research Paper No. 18-30
Number of pages: 38 Posted: 18 Apr 2018 Last Revised: 30 Apr 2018
J-C Gerlach, Guilherme Demos and Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH-Zürich - Department of Management Technology and Economics (D-MTEC) and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 593 (73,882)
Citation 8

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Cryptocurrency, Bitcoin, k-Means Clustering, Multiscale Bubble Indicator, Log-Periodic Power Law Singularity Analysis, Forecasting, Time Series Analysis, Market Crashes

3.

Crash-sensitive Kelly Strategy built on a modified Kreuser-Sornette bubble model tested over three decades of twenty equity indices

Swiss Finance Institute Research Paper No. 20-85
Number of pages: 37 Posted: 09 Oct 2020 Last Revised: 16 Oct 2020
J-C Gerlach, Jerome L Kreuser and Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zurich and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 452 (103,038)

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financial bubbles, efficient crashes, positive feedback, rational expectation, Kelly criterion, optimal investment, Covid-19 crash

4.

Awareness of Crash Risk Improves Kelly Strategies in Simulated Financial Time Series

Number of pages: 35 Posted: 15 May 2020
J-C Gerlach, Jerome L Kreuser and Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zurich and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 123 (361,818)

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Econometrics, Time Series Model, Kelly Criterion, Trading Strategy, Bubbles, Crashes, Risk