3628 documents matched the search for Didier Sornette in authors.
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Large deviations and portfolio optimization,
Didier Sornette,
from arXiv.org
(1998)
Gauge Theory of Finance?,
Didier Sornette,
in International Journal of Modern Physics C (IJMPC)
(1998)
Keywords: Finance, Black–Scholes, Random Walks, Boltzmann, Gauge Theory, Arbitrage, Log-Normal Distribution
MECHANISM FOR POWERLAWS WITHOUT SELF-ORGANIZATION,
Didier Sornette,
in International Journal of Modern Physics C (IJMPC)
(2002)
Keywords: Power law distribution, self-organization, self-regulation, Ising, mechanisms for power law distributions
Nurturing Breakthroughs: Lessons from Complexity Theory,
Didier Sornette,
from arXiv.org
(2007)
Large deviations and portfolio optimization,
Didier Sornette,
in Physica A: Statistical Mechanics and its Applications
(1998)
Linear stochastic dynamics with nonlinear fractal properties,
Didier Sornette,
in Physica A: Statistical Mechanics and its Applications
(1998)
Keywords: Stochastic process; Maps; Power law; Self-affinity; Intermittency;
Fokker–Planck equation of distributions of financial returns and power laws,
Didier Sornette,
in Physica A: Statistical Mechanics and its Applications
(2001)
Stock market speculation: Spontaneous symmetry breaking of economic valuation,
Didier Sornette,
in Physica A: Statistical Mechanics and its Applications
(2000)
Dragon-Kings, Black Swans and the Prediction of Crises,
Didier Sornette,
from Swiss Finance Institute
(2009)
Keywords: outliers; kings; red dragons; extremes; crisis; catastrophes; bifurcations; power laws; prediction.
Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models,
Didier Sornette,
from Swiss Finance Institute
(2014)
Keywords: order book, Brownian particle, fluctuation-dissipation, dollar-yen OR from paper: Finance, physics, econophysics, Ising model, phase transitions, excess volatility puzzle, logit model, Boltzmann factor, bubbles, crashes, adaptive markets, ecologies
A Civil Super-Manhattan Project in Nuclear Research for a Safer and Prosperous World,
Didier Sornette,
from Swiss Finance Institute
(2015)
Keywords: social instabilities, nuclear stewardship, innovation, investment
Quis pendit ipsa pretia: facebook valuation and diagnostic of a bubble based on nonlinear demographic dynamics,
Didier Sornette Peter Cauwels,
from ETH Zurich, Chair of Systems Design
Keywords: Facebook, social-networking, valuation, IPO, S-curve, logistic growth, forecast, fundamental value, bubble
Micro-foundation using percolation theory of the finite-time singular behavior of the crash hazard rate in a class of rational expectation bubbles,
Maximilian Seyrich and Didier Sornette,
from arXiv.org
(2016)
Secular bipolar growth rate of the real US GDP per capita: implications for understanding past and future economic growth,
Sandro Lera and Didier Sornette,
from arXiv.org
(2015)
Critical Crashes,
Anders Johansen and Didier Sornette,
from arXiv.org
(1999)
The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash,
Anders Johansen and Didier Sornette,
from arXiv.org
(2000)
Quis pendit ipsa pretia: facebook valuation and diagnostic of a bubble based on nonlinear demographic dynamics,
Peter Cauwels and Didier Sornette,
from arXiv.org
(2011)
Spurious trend switching phenomena in financial markets,
Vladimir Filimonov and Didier Sornette,
from arXiv.org
(2011)
A Creepy World,
Didier Sornette and Peter Cauwels,
from arXiv.org
(2014)
Financial bubbles: mechanisms and diagnostics,
Didier Sornette and Peter Cauwels,
from arXiv.org
(2014)
Power law scaling and "Dragon-Kings" in distributions of intraday financial drawdowns,
Vladimir Filimonov and Didier Sornette,
from arXiv.org
(2015)
EVALUATION OF THE QUANTITATIVE PREDICTION OF A TREND REVERSAL ON THE JAPANESE STOCK MARKET IN 1999,
Anders Johansen and Didier Sornette,
in International Journal of Modern Physics C (IJMPC)
(2000)
Keywords: Stock Market, Log-Periodic Oscillations, Scale Invariance, Prediction, Gold, Nikkei, Herding Behavior
Economic returns of research: the Pareto law and its implications,
Didier Sornette and Daniel Zajdenweber,
from arXiv.org
(1998)
Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis,
Didier Sornette and Ryan Woodard,
from arXiv.org
(2009)
Ubiquitous power law scaling in nonlinear self-excited Hawkes processes,
Kiyoshi Kanazawa and Didier Sornette,
from arXiv.org
(2021)
Micro-foundation using percolation theory of the finite time singular behavior of the crash hazard rate in a class of rational expectation bubbles,
Maximilian Seyrich and Didier Sornette,
in International Journal of Modern Physics C (IJMPC)
(2016)
Keywords: Financial bubbles, rational bubbles, crash hazard rate, percolation, superlinear productivity, finite time singularity, numerical simulations
Exact asymptotic solutions to nonlinear Hawkes processes: a systematic classification of the steady-state solutions,
Kiyoshi Kanazawa and Didier Sornette,
from arXiv.org
(2022)
INEFFICIENT BUBBLES AND EFFICIENT DRAWDOWNS IN FINANCIAL MARKETS,
Michael Schatz and Didier Sornette,
in International Journal of Theoretical and Applied Finance (IJTAF)
(2020)
Keywords: Financial bubbles, financial crashes, explosive processes, bubble decomposition, strict local martingale approach, infinite horizon bubbles
A Generic Model of Dyadic Social Relationships,
Maroussia Favre and Didier Sornette,
in PLOS ONE
(2015)
An Evolutionary Model of Cooperation, Fairness and Altruistic Punishment in Public Good Games,
Moritz Hetzer and Didier Sornette,
in PLOS ONE
(2013)
Quantifying reflexivity in financial markets: towards a prediction of flash crashes,
Vladimir Filimonov and Didier Sornette,
from arXiv.org
(2012)
Calibrating emergent phenomena in stock markets with agent based models,
Lucas Fievet and Didier Sornette,
in PLOS ONE
(2018)
Financial Bubbles: Mechanisms and Diagnostics,
Didier Sornette and Peter Cauwels,
in Review of Behavioral Economics
(2015)
Keywords: Systemic crisis, Change of regime, Financial bubble, Bifurcation, Instability, Precursors, Singularity, Prediction, Super-exponential, Log-periodic, Hierarchies, Positive feedbacks, Pro-cyclicality
"Speculative Influence Network" during financial bubbles: application to Chinese Stock Markets,
Li Lin and Didier Sornette,
from arXiv.org
(2015)
BUBBLES AND ANTI-BUBBLES IN LATIN-AMERICAN, ASIAN AND WESTERN STOCK MARKETS: AN EMPIRICAL STUDY,
Anders Johansen and Didier Sornette,
in International Journal of Theoretical and Applied Finance (IJTAF)
(2001)
Keywords: Emergent markets, crashes, bubbles, log-periodic, power laws
Market Bubbles and Chrashes,
Taisei Kaizoji and Didier Sornette,
from University Library of Munich, Germany
(2008)
Keywords: Financial bubbles, crashes, efficient market hypothesis, positive feedback, noise traders, super-exponential, heterogeneous beliefs, synchronization failure, social imitation, complex system theory, collective phenomena, bifurcation, phase transition
The Co-Evolution of Fairness Preferences and Costly Punishment,
Moritz Hetzer and Didier Sornette,
in PLOS ONE
(2013)
EMBRACING THE INTUITIVE-ANALYTICAL PARADOX? HOW INTUITIVE AND ANALYTICAL DECISION-MAKING DRIVE PARADOXES IN SIMPLE AND COMPLEX ENVIRONMENTS,
Katharina Fellnhofer and Didier Sornette,
from Center for Open Science
(2022)
Power law scaling and “Dragon-Kings” in distributions of intraday financial drawdowns,
Vladimir Filimonov and Didier Sornette,
in Chaos, Solitons & Fractals
(2015)
Aristotle vs. Ringelmann: On superlinear production in open source software,
Thomas Maillart and Didier Sornette,
in Physica A: Statistical Mechanics and its Applications
(2019)
Keywords: Critical cascades; Superlinear productivity; Group productivity; Social dynamics; Collective intelligence;
1980–2008: The Illusion of the Perpetual Money Machine and What It Bodes for the Future,
Didier Sornette and Peter Cauwels,
in Risks
(2014)
Keywords: financial crises; financial bubbles; monetary policy; economic growth; productivity; systemic risks; financialization
Scaling Laws And Statistical Properties of The Transaction Flows And Holding Times of Bitcoin,
Didier Sornette and Yu Zhang,
from arXiv.org
(2024)
Are 2050 energy transition plans viable? A detailed analysis of projected Swiss electricity supply and demand in 2050,
Euan Mearns and Didier Sornette,
in Energy Policy
(2023)
Keywords: Switzerland; Energy transition; Nuclear; Solar; Storage;
Empirical test of the origin of Zipf’s law in growing social networks,
Qunzhi Zhang and Didier Sornette,
in Physica A: Statistical Mechanics and its Applications
(2011)
Keywords: Zipf’s law; Gibrat’s law;
Log-periodic oscillations for biased diffusion on random lattice,
Dietrich Stauffer and Didier Sornette,
in Physica A: Statistical Mechanics and its Applications
(1998)
Self-organized percolation model for stock market fluctuations,
Dietrich Stauffer and Didier Sornette,
in Physica A: Statistical Mechanics and its Applications
(1999)
Keywords: Clusters; Activity; Monte Carlo; Self-organized criticality; Power laws; Percolation;
Large financial crashes,
Didier Sornette and Anders Johansen,
in Physica A: Statistical Mechanics and its Applications
(1997)
Finite-time singularity in the dynamics of the world population, economic and financial indices,
Anders Johansen and Didier Sornette,
in Physica A: Statistical Mechanics and its Applications
(2001)
Oscillatory finite-time singularities in finance, population and rupture,
Kayo Ide and Didier Sornette,
in Physica A: Statistical Mechanics and its Applications
(2002)
Keywords: Nonlinearity; Finite time singularity; Oscillation; Finance; Population; Rupture;
Download relaxation dynamics on the WWW following newspaper publication of URL,
Anders Johansen and Didier Sornette,
in Physica A: Statistical Mechanics and its Applications
(2000)
Market impact and performance of arbitrageurs of financial bubbles in an agent-based model,
Rebecca Westphal and Didier Sornette,
in Journal of Economic Behavior & Organization
(2020)
Keywords: Financial bubbles; Agent-based model; Arbitrageurs; Noise traders; Fundamentalists; Market impact;
A Stable and Robust Calibration Scheme of the Log-Periodic Power Law Model,
Vladimir Filimonov and Didier Sornette,
from ETH Zurich, Chair of Systems Design
Keywords: JLS model, financial bubbles, crashes, log-periodic power law, fit method, optimization.
Dragon-kings: Mechanisms, statistical methods and empirical evidence,
Didier Sornette and Guy Ouillon,
from ETH Zurich, Chair of Systems Design
Keywords: extreme events, earthquakes, volcanoes, landlsides, finance, social sciences, geophysics, weather, bubbles, forecast, floods, drawdowns, wealth, epileptic seizures, neurosciences, hydrodynamics, rain, turbulence, storm, hurricane, snow avalanche, rupture, failure, damage, forest fire, evolution, extinction
Testing the Gaussian copula hypothesis for financial assets dependences,
Yannick Malevergne and Didier Sornette,
from HAL
(2003)
Keywords: Copulas,Dependence Modelisation,Risk Management,Tail Dependence
Extreme Financial Risks: From Dependence to Risk Management,
Yannick Malevergne and Didier Sornette,
from HAL
(2006)
Self-consistent asset pricing models,
Yannick Malevergne and Didier Sornette,
from HAL
(2007)
Keywords: Asset pricing,No arbitrage,Equilibrium,CAPMAPT,Market portfolio,Self-consistency,PCA
Value-at-Risk-efficient portfolios for class of super- and sub-exponentially decaying assets return distributions,
Yannick Malevergne and Didier Sornette,
from HAL
(2004)
Testing the Gaussian copula hypothesis for financial assets dependence,
Yannick Malevergne and Didier Sornette,
from HAL
(2003)
Minimizing extremes,
Yannick Malevergne and Didier Sornette,
from HAL
(2002)
Multi-dimensional rational bubbles and fat tails,
Yannick Malevergne and Didier Sornette,
from HAL
(2001)
Collective origin of the coexistence of apparent random matrix theory noise and of factors in large sample correlation matrices,
Yannick Malevergne and Didier Sornette,
from HAL
(2004)
From rational bubbles to crashes,
Didier Sornette and Yannick Malevergne,
from HAL
(2001)
Lagrange regularisation approach to compare nested data sets and determine objectively financial bubbles' inceptions,
Guilherme Demos and Didier Sornette,
from arXiv.org
(2017)
A standard form of master equations for general non-Markovian jump processes: the Laplace-space embedding framework and asymptotic solution,
Kiyoshi Kanazawa and Didier Sornette,
from arXiv.org
(2023)
Diagnostics of Rational Expectation Financial Bubbles with Stochastic Mean-Reverting Termination Times,
Li Lin and Didier Sornette,
from arXiv.org
(2009)
Stock Market Crashes: Predictable and Unpredictable and What to Do About Them,
Didier Sornette and Tobias Huber,
in Quantitative Finance
(2018)
Super-Exponential RE bubble model with efficient crashes,
Jerome Kreuser and Didier Sornette,
in The European Journal of Finance
(2019)
On Rational Bubbles and Fat Tails,
Thomas Lux and Didier Sornette,
in Journal of Money, Credit and Banking
(2002)
Dating the financial cycle with uncertainty estimates: a wavelet proposition,
Diego Ardila and Didier Sornette,
in Finance Research Letters
(2016)
Keywords: Financial cycle; Wavelet transform; Multi-scale analysis; BBQ algorithm; Turning points; Interval estimates;
A hierarchical model of financial crashes,
Didier Sornette and Anders Johansen,
in Physica A: Statistical Mechanics and its Applications
(1998)
How to grow a bubble: A model of myopic adapting agents,
Georges Harras and Didier Sornette,
in Journal of Economic Behavior & Organization
(2011)
Keywords: Stock market; Crash; Bubble; Herding; Adaptation; Agent-based model;
How to grow a bubble: A model of myopic adapting agents,
Georges Harras and Didier Sornette,
from arXiv.org
(2010)
A Stable and Robust Calibration Scheme of the Log-Periodic Power Law Model,
Vladimir Filimonov and Didier Sornette,
from arXiv.org
(2013)
Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data,
Vladimir Filimonov and Didier Sornette,
from arXiv.org
(2014)
The inverse Cox-Ingersoll-Ross process for parsimonious financial price modeling,
Li Lin and Didier Sornette,
from arXiv.org
(2023)
Shocks, Crashes and Bubbles in Financial Markets,
Anders Johansen and Didier Sornette,
in Brussels Economic Review
(2010)
Keywords: Financial bubbles; Crashes; Super-exponential growth; Positive feedback; Power law; Log-periodicity; Prediction
Are ‘flow of ideas’ and ‘research productivity’ in secular decline?,
Peter Cauwels and Didier Sornette,
in Technological Forecasting and Social Change
(2022)
Keywords: Research productivity; Knowledge accumulation; Economic growth; Endogenous growth; Exponential growth; S-curve; Technological progress; Discovery; Invention; Innovation; Scientific revolutions;
How to account for extreme co-movements between individual stocks and the market,
Yannick Malevergne and Didier Sornette,
from HAL
(2004)
Log-periodic power law bubbles in Latin-American and Asian markets and correlated anti-bubbles in Western stock markets: An empirical study,
Anders Johansen and Didier Sornette,
from University Library of Munich, Germany
(1999)
Keywords: Market bubbles and crashes, emerging markets, log-periodic power laws
“Speculative Influence Network” during financial bubbles: application to Chinese stock markets,
Li Lin and Didier Sornette,
in Journal of Economic Interaction and Coordination
(2018)
Keywords: Financial bubbles, Super-exponential, Systemic risks, Hidden Markov Modeling, Transfer entropy, Speculative Influence Network, Early warning system, Chinese stock market
Classification of flash crashes using the Hawkes(p,q) framework,
Alexander Wehrli and Didier Sornette,
from Swiss Finance Institute
(2020)
Keywords: Flash crash; Hawkes process; ARMA point process; High frequency financial data; Market microstructure; EM algorithm; Time-varying parameters
Excess financial volatility explained by endogenous excitations revealed by EM calibrations of a generalized Hawkes point process,
Alexander Wehrli and Didier Sornette,
from Swiss Finance Institute
(2021)
Keywords: market efficiency, excess volatility, endogeneity, Hawkes process, high frequency data
Classification of flash crashes using the Hawkes(p,q) framework,
Alexander Wehrli and Didier Sornette,
in Quantitative Finance
(2022)
Managing risk in a creepy world,
Didier Sornette and Peter Cauwels,
in Journal of Risk Management in Financial Institutions
(2015)
Keywords: systemic crisis, change of regime, financial bubble, bifurcation, instability, precursors, prediction, scenarios, risk management
Endogenous versus exogenous origins of financial rallies and crashes in an agent-based model with Bayesian learning and imitation,
Georges Harras and Didier Sornette,
from Swiss Finance Institute
(2008)
Keywords: stock market, crash, rallies, bubble, herding, news
Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis,
Didier Sornette and Ryan Woodard,
from Swiss Finance Institute
(2009)
Keywords: Financial crisis, bubbles, real estate, derivatives, out-of-equilibrium, super-exponential growth, crashes, complex systems
Other-regarding preferences and altruistic punishment: A Darwinian perspective,
Moritz Hetzer and Didier Sornette,
from Swiss Finance Institute
(2009)
Keywords: altruism, punishment, social dilemma, cooperation, social norms, agent-based model, evolutionary dynamics
Bubbles Everywhere in Human Affairs,
Monika Gisler and Didier Sornette,
from Swiss Finance Institute
(2010)
Keywords: social bubbles; innovation; positive feedbacks; financial bubbles, tulip mania, Apollo program
Taming Manias: On the Origins, Inevitability, Prediction and Regulation of Bubbles and Crashes,
Jeffrey Satinover and Didier Sornette,
from Swiss Finance Institute
(2010)
Keywords: financial bubbles; positive feedbacks; illusion of control; unintended consequences; dragon-kings; outliers; prediction; systemic instabilities
Quis pendit ipsa pretia: facebook valuation and diagnostic of a bubble based on nonlinear demographic dynamics,
Peter Cauwels and Didier Sornette,
from Swiss Finance Institute
(2011)
Keywords: facebook, social-networking, valuation, IPO, S-curve, logistic growth, forecast, fundamental value, bubble
Quis pendit ipsa pretia: facebook valuation and diagnostic of a bubble based on nonlinear demographic dynamics,
Peter Cauwels and Didier Sornette,
from Swiss Finance Institute
(2011)
Keywords: facebook, social-networking, valuation, IPO, S-curve, logistic growth, forecast, fundamental value, bubble
Follow the money: The monetary roots of bubbles and crashes,
Fulvio Corsi and Didier Sornette,
from Swiss Finance Institute
(2011)
Keywords: Minskian dynamics, financial bubbles, positive feedback, financial accelerator, general- ized FTS-GARCH
Follow the money: The monetary roots of bubbles and crashes,
Fulvio Corsi and Didier Sornette,
from Swiss Finance Institute
(2011)
Keywords: Minskian dynamics, financial bubbles, positive feedback, financial accelerator, general- ized FTS-GARCH
Follow the money: The monetary roots of bubbles and crashes,
Monique Jeanblanc and Didier Sornette,
from Swiss Finance Institute
(2011)
Keywords: Minskian dynamics, financial bubbles, positive feedback, financial accelerator, general- ized FTS-GARCH
Quantifying Reflexivity in Financial Markets: Towards a Prediction of Flash Crashes,
Vladimir Filimonov and Didier Sornette,
from Swiss Finance Institute
(2012)
Keywords: complex systems, econophysics, exogenous- versus endogenous, high-frequency trading, criticality, trading activity, volume
The Illusion of the Perpetual Money Machine,
Peter Cauwels and Didier Sornette,
from Swiss Finance Institute
(2012)
Keywords: economic growth, productivity, financial markets, investments, returns, debt, bubbles, monetary policy
The Sentiment of the Fed,
Michel Fuksa and Didier Sornette,
from Swiss Finance Institute
(2013)
Keywords: economics, Federal Reserve, Federal Open Market Committee, Beige Book, word sentiment dictionary, prediction
The Sentiment of the Fed,
Michel Fuksa and Didier Sornette,
from Swiss Finance Institute
(2013)
Keywords: economics, Federal Reserve, Federal Open Market Committee, Beige Book, word sentiment dictionary, prediction
A Creepy World,
Didier Sornette and Peter Cauwels,
from Swiss Finance Institute
(2014)
Keywords: systemic crisis, change of regime, financial bubble, bifurcation, instability, precursors, prediction, scenarios
Apparent Criticality and Calibration Issues in the Hawkes Self-Excited Point Process Model: Application to High-Frequency Financial Data,
Vladimir Filimonov and Didier Sornette,
from Swiss Finance Institute
(2013)
Keywords: Hawkes process, Poisson process, endogeneity, reflexivity, branching ratio, outliers, memory kernel, high-frequency data, criticality, statistical biases, power laws, regime shifts
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