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Białkowski, Je̜drzej; Bohl, Martin T.; Stephan, … - In: International review of financial analysis 41 (2015), pp. 329-339

Persistent link: https://www.econbiz.de/10011509023

Inefficient bubbles and efficient drawdowns in financial markets

Schatz, Michael; Sornette, Didier - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-56

Persistent link: https://www.econbiz.de/10012496907

On the predictability of stock market bubbles : evidence from LPPLS confidence multi-scale indicators

Demirer, Rıza; Demos, Guilherme; Gupta, Rangan; … - In: Quantitative finance 19 (2019) 5, pp. 843-858

Persistent link: https://www.econbiz.de/10012194719

The far reaching implications of Fama's efficient markets hypothesis : non-predictability of media investments

Bohl, Martin T.; Ehrmann, Thomas; Wellenreuther, Claudia - In: Applied economics letters 27 (2020) 18, pp. 1505-1508

Persistent link: https://www.econbiz.de/10012315651

Real-time prediction and post-mortem analysis of the Shanghai 2015 stock market bubble and crash

Sornette, Didier; Demos, Guilherme; Zhang, Qun; … - 2015

The authors assess the performance of the real-time diagnostic, openly presented to the public on the website of the Financial Crisis Observatory (FCO) at ETH Zurich, of the bubble regime that developed in Chinese stock markets since mid-2014 and that started to burst in June 2015. The analysis...

Persistent link: https://www.econbiz.de/10011412033

Apparent criticality and calibration issues in the Hawkes self-excited point process model : application to high-frequency financial data

Filimonov, Vladimir; Sornette, Didier - 2013

-frequency financial data and carefully analyze a set of effects that lead to significant biases in the estimation of the "criticality … model biases: (i) evidence of strong upward biases on the estimation of n when using power law memory kernels in the … bias in the estimation of the branching ratio. We demonstrate the importance of the preparation of the high …

Persistent link: https://www.econbiz.de/10010257507

Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes

Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - In: Quantitative finance 21 (2021) 5, pp. 729-752

Persistent link: https://www.econbiz.de/10012500185

Momentum profits, market cycles, and rebounds : evidence from Germany

Bohl, Martin T.; Czaja, Marc-Gregor; Kaufmann, Philipp - In: The quarterly review of economics and finance : journal … 61 (2016), pp. 139-159

Persistent link: https://www.econbiz.de/10011627527

Short selling constraints and stock returns volatility : empirical evidence from the German stock market

Bohl, Martin T.; Reher, Gerrit; Wilfling, Bernd - In: Economic modelling 58 (2016), pp. 159-166

Persistent link: https://www.econbiz.de/10011647079

The case for herding is stronger than you think

Bohl, Martin T.; Branger, Nicole; Trede, Mark - In: Journal of banking & finance 85 (2017), pp. 30-40

Persistent link: https://www.econbiz.de/10011816847