Identifying unambiguously the presence of a bubble in an asset price remains an unsolved problem in standard econometric and financial economic approaches. A large part of the problem is that the fundamental value of an asset is, in general, not directly observable and it is poorly constrained...

Didier Sornette and Wei-Xing Zhou respond to the issues raised by Anders Johansen in his comment 'An alternative view' published in Quantitative Finance 3 C6.

A remarkable similarity in the behaviour of the US S&P500 index from 1996 to August 2002 and of the Japanese Nikkei index from 1985 to 1992 (11 year shift) is presented, with particular emphasis on the structure of the bearish phases. Extending a previous analysis of Johansen and Sornette on the...

We introduce a novel non-parametric methodology to test for the dynamical time evolution of the lag-lead structure between two arbitrary time series. The method consists of constructing a distance matrix based on the matching of all sample data pairs between the two time series. Then, the...

Intelligent finance represents a new direction recently emerging from the confluence of several distinct disciplines in financial market analysis, investing and trading, removing any historical or artificial barrier between them. It is conceived as the science, technology and art of the...