Alexander I. Saichev

ETH Zurich - D-MTEC (Deceased)

Professor

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 33,298

SSRN RANKINGS

Top 33,298

in Total Papers Downloads

1,421

SSRN CITATIONS

0

CROSSREF CITATIONS

6

Scholarly Papers (6)

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 ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 462 (64,484)
Citation 5

Abstract:

Loading...

2.
Downloads 301 (105,694)
Citation 1

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), ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and Swiss Federal Institute of Technology Zurich (ETH Zurich)
Downloads 217 (147,246)
Citation 2

Abstract:

Loading...

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), ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and Swiss Federal Institute of Technology Zurich (ETH Zurich)
Downloads 84 (313,075)
Citation 2

Abstract:

Loading...

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 ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 290 (110,034)

Abstract:

Loading...

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), ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), Swiss Federal Institute of Technology Zurich (ETH Zurich) and University of Pisa - Department of Economics
Downloads 171 (183,457)

Abstract:

Loading...

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
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zurich - D-MTEC (Deceased)
Downloads 133 (225,923)

Abstract:

Loading...

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
ETH Zurich - D-MTEC (Deceased), National Research University Higher School of Economics and affiliation not provided to SSRN
Downloads 64 (361,492)

Abstract:

Loading...

volatility estimators, probabilistic properties, efficiency, unbiasedness