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Classification of flash crashes using the Hawkes(p,q) framework
Wehrli, Alexander; Sornette, Didier - In: Quantitative finance 22 (2022) 2, pp. 213-240
Persistent link: https://www.econbiz.de/10013167733
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Evolutionary patterns of onshore and offshore Renminbi exchange rates with convexity-concavity indicators
Zhang, Qun; Sornette, Didier; Han, Liyan - In: Quantitative finance 22 (2022) 2, pp. 367-384
Persistent link: https://www.econbiz.de/10013167760
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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
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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
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A simple mechanism for financial bubbles : time-varying momentum horizon
Lin, Li; Schatz, Michael; Sornette, Didier - In: Quantitative finance 19 (2019) 6, pp. 937-959
Persistent link: https://www.econbiz.de/10012194733
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The endo-exo problem in high frequency financial price fluctuations and rejecting criticality
Wheatley, Spencer; Wehrli, Alexander; Sornette, Didier - In: Quantitative finance 19 (2019) 7, pp. 1165-1178
Persistent link: https://www.econbiz.de/10012194752
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Decision trees unearth return sign predictability in the S&P 500
Fiévet, Lucas; Sornette, Didier - In: Quantitative finance 18 (2018) 11, pp. 1797-1814
Persistent link: https://www.econbiz.de/10012261997
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An adaptive dynamical model of default contagion
Smug, Damian; Ashwin, Julian; Ashwin, Peter; Sornette, … - In: Quantitative finance 22 (2022) 7, pp. 1217-1227
Persistent link: https://www.econbiz.de/10013367894