Jerome L Kreuser

ETH Zurich

Rämistrasse 101

ZUE F7

Zürich, 8092

Switzerland

SCHOLARLY PAPERS

6

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CROSSREF CITATIONS

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Scholarly Papers (6)

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1.

Bitcoin Bubble Trouble

Forthcoming in Wilmott Magazine, 2018, Swiss Finance Institute Research Paper No. 18-24
Number of pages: 17 Posted: 20 Mar 2018 Last Revised: 19 Jun 2018
Jerome L Kreuser and Didier Sornette
ETH Zurich and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 641 (66,974)

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bitcoin, financial bubbles, efficient crashes, positive feedback, rational expectation, Kelly

2.

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 (102,984)

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

3.

Super-Exponential RE Bubble Model with Efficient Crashes

Swiss Finance Institute Research Paper No. 17-33
Number of pages: 59 Posted: 16 Nov 2017 Last Revised: 05 Sep 2018
Jerome L Kreuser and Didier Sornette
ETH Zurich and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 437 (107,538)
Citation 1

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financial bubbles, efficient crashes, positive feedback, rational expectation, Kelly criterion, optimal investment

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 (361,677)

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

5.

Strategic Investment and Risk Management For Sovereign Wealth Funds

Central Bank Reserves and Sovereign wealth Management, Edited by Arjan Bastiaan Berkelaar, Arjan B. Bekelaar, Joachim Coche, and Ken Nyholm, Palgrave Macmillian, Dec., 2009.
Number of pages: 46 Posted: 30 Nov 2017
Stijn Claessens and Jerome L Kreuser
Bank for International Settlements (BIS) and ETH Zurich
Downloads 74 (503,782)

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Sovereign Wealth Funds, ALM, asset/liability, dynamic stochastic optimization, asset/liability allocation

6.

A Sovereign Asset-Liability Framework with Multiple Risk Factors for External Reserves Management – Reserve Bank of India

In Portfolio and Risk Management for Central Banks and Sovereign Wealth Funds, Edited by Joachim Coche, Ken Nyholm and Gabriel Petre, Palgrave Macmillian, New York, 2011.
Number of pages: 22 Posted: 30 Nov 2017
Himadri Bhattacharya, Jerome L Kreuser and Sivakumar Sivaprakasam
Tata Capital Limited, ETH Zurich and Argonaut Global
Downloads 58 (571,306)

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central banking, reserves management, stochastic optimization models