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A civil super-Manhattan project in nuclear research for a safer and prosperous world

Sornette, Didier - 2015

trapped itself in. A 1% GDP investment over a decade in the main nuclear countries could boost economic growth with a focus on …

Persistent link: https://www.econbiz.de/10011296090

Chapter 12 Aggregate investment

Caballero, Ricardo J. - In: Handbook of macroeconomics : volume 1, part B, (pp. 813-862). 1999

investment behavior. New theories, better econometric procedures, and more detailed panel data sets are behind this movement … general equilibrium aspects of the investment problem also has been significant. The concept of sunk costs is at the center of … modern theories. The implications of these costs for investment go well beyond the neoclassical response to the irreversible …

Persistent link: https://www.econbiz.de/10014024233

A creepy world

Sornette, Didier; Cauwels, Peter - 2013

Using the mechanics of creep in material sciences as a metaphor, we present a general framework to understand the evolution of financial, economic and social systems and to construct scenarios for the future. In a nutshell, highly non-linear out-of-equilibrium systems subjected to exogenous...

Persistent link: https://www.econbiz.de/10010257508

Micro-foundation using percolation theory of the finite-time singular behavior of the crash hazard rate in a class of rational expectation bubbles

Seyrich, Maximilian; Sornette, Didier - 2016

We present a plausible micro-founded model for the previously postulated power law finite time singular form of the crash hazard rate in the Johansen-Ledoit-Sornette model of rational expectation bubbles. The model is based on a percolation picture of the network of traders and the concept that...

Persistent link: https://www.econbiz.de/10011514360

Resolving persistent uncertainty by self-organized consensus to mitigate market bubbles

Sornette, Didier; Andraszewicz, Sandra; Murphy, Ryan O.; … - 2016

We propose a new paradigm to study coordination in complex social systems, such as financial markets, that accounts for fundamental uncertainty. This new context has features from prediction markets that have been shown previously to mitigate price bubbles in classical asset market experiments....

Persistent link: https://www.econbiz.de/10011514493

Modified profile likelihood inference and interval forecast of the burst of financial bubbles

Filimonov, Vladimir; Demos, Guilherme; Heinimann, Hans … - 2016

We present a detailed methodological study of the application of the modified profile likelihood method for the calibration of nonlinear financial models characterised by a large number of parameters. We apply the general approach to the Log-Periodic Power Law Singularity (LPPLS) model of...

Persistent link: https://www.econbiz.de/10011514498

Financial bubbles : mechanisms and diagnostics

Sornette, Didier; Cauwels, Peter - 2014

dynamics and investment styles. We argue that the risk of a major correction, or even a crash, becomes substantial when a …

Persistent link: https://www.econbiz.de/10010411859

Power law scaling and "Dragon-Kings'' in distributions of intraday financial drawdown

Filimonov, Vladimir; Sornette, Didier - 2014

We investigate the distributions of e-drawdowns and e-drawups of the most liquid futures financial contracts of the world at time scales of 30 seconds. The e-drawdowns (resp. e-drawups) generalise the notion of runs of negative (resp. positive) returns so as to capture the risks to which...

Persistent link: https://www.econbiz.de/10010412365

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

Market impact and performance of arbitrageurs of financial bubbles in an agent-based model

Westphal, Rebecca; Sornette, Didier - In: Journal of economic behavior & organization : JEBO 171 (2020), pp. 1-23

Persistent link: https://www.econbiz.de/10012287971