Alexander I. Saichev

ETH Zurich - D-MTEC (Deceased)

Professor

SCHOLARLY PAPERS

6

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6

Scholarly Papers (6)

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1.

Zipf's Law for Firms: Relevance of Birth and Death Processes

Number of pages: 27 Posted: 15 Jan 2008 Last Revised: 13 Apr 2010
Yannick Malevergne, Alexander I. Saichev and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM, ETH Zurich - D-MTEC (Deceased) and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 513 (89,007)
Citation 5

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2.

Most Efficient Homogeneous Volatility Estimators

Downloads 373 (129,058)
Citation 2

Most Efficient Homogeneous Volatility Estimators

Swiss Finance Institute Research Paper No. 09-35
Number of pages: 21 Posted: 09 Sep 2009
Alexander I. Saichev, Didier Sornette and Vladimir Filimonov
ETH Zurich - D-MTEC (Deceased), Risks-X, Southern University of Science and Technology (SUSTech) and Swiss Federal Institute of Technology Zurich (ETH Zurich)
Downloads 268 (182,427)
Citation 1

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Variance and volatility estimators, efficiency, homogeneous functions, Schwarz inequality, extremes of Wiener processes

Most Efficient Homogeneous Volatility Estimators

CCSS Working Paper Series No. CCSS-09-007
Number of pages: 20 Posted: 27 Apr 2010
Alexander I. Saichev, Didier Sornette and Vladimir Filimonov
ETH Zurich - D-MTEC (Deceased), Risks-X, Southern University of Science and Technology (SUSTech) and Swiss Federal Institute of Technology Zurich (ETH Zurich)
Downloads 105 (408,704)
Citation 2

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Variance and volatility estimators, efficiency, homogeneous functions, Schwarz inequality, extremes of Wiener processes

3.

Super-Exponential Endogenous Bubbles in an Equilibrium Model of Fundamentalist and Chartist Traders

Swiss Finance Institute Research Paper No. 15-07
Number of pages: 44 Posted: 08 Feb 2015 Last Revised: 10 Mar 2015
Taisei Kaizoji, Matthias Leiss, Alexander I. Saichev and Didier Sornette
International Christian University, ETH Zürich, ETH Zurich - D-MTEC (Deceased) and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 356 (135,966)
Citation 2

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financial bubbles, faster-than-exponential growth, social imitation, momentum trading, chartists dotcom bubble

4.

Homogeneous Volatility Bridge Estimators

Econometrics Journal, Vol. 10, pp. 1–25, 2010, Swiss Finance Institute Research Paper No. 09-46
Number of pages: 28 Posted: 20 Dec 2009
Alexander I. Saichev, Didier Sornette, Vladimir Filimonov and Fulvio Corsi
ETH Zurich - D-MTEC (Deceased), Risks-X, Southern University of Science and Technology (SUSTech), Swiss Federal Institute of Technology Zurich (ETH Zurich) and University of Pisa - Department of Economics
Downloads 206 (236,176)

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volatility, variance, estimators, efficiency, Wiener processes, homogeneous functions

5.

A Simple Microstructure Return Model Explaining Microstructure Noise and Epps Effects

Swiss Finance Institute Research Paper No. 12-08
Number of pages: 53 Posted: 23 Feb 2012
Didier Sornette and Alexander I. Saichev
Risks-X, Southern University of Science and Technology (SUSTech) and ETH Zurich - D-MTEC (Deceased)
Downloads 169 (281,579)
Citation 1

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high-frequency trading, micro-structure, Epps effect, long memory, momentum

6.

Efficiency and Probabilistic Properties of Bridge Volatility Estimator

Number of pages: 24 Posted: 21 Mar 2012 Last Revised: 05 Jun 2012
Alexander I. Saichev, Svetlana Alexandrovna Lapinova and Maria Tarakanova
ETH Zurich - D-MTEC (Deceased), National Research University Higher School of Economics and affiliation not provided to SSRN
Downloads 86 (462,740)

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volatility estimators, probabilistic properties, efficiency, unbiasedness