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On the construction of common size, value and momentum factors in international stock markets : a guide with applications

Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2011

A major obstacle for research in international asset pricing and corporate finance has been a lack of reliable and publicly available data on international common risk factors and portfolios. To address this gap, we provide a step-by-step description of how appropriately screened data from...

Persistent link: https://www.econbiz.de/10008798062

The US stock market leads the federal funds rate and treasury bond yields

Guo, Kun; Zhou, Wei-Xing; Cheng, Si-Wei; Sornette, Didier - 2011

Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock market variations and the yield changes should be...

Persistent link: https://www.econbiz.de/10009009600

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

Quantifying reflexivity in financial markets : towards a prediction of flash crashes

Filimonov, Vladimir; Sornette, Didier - 2012

We introduce a new measure of activity of financial markets that provides a direct access to their level of endogeneity. This measure quantifies how much of price changes are due to endogenous feedback processes, as opposed to exogenous news. For this, we calibrate the self-excited conditional...

Persistent link: https://www.econbiz.de/10009561617

Crashes and high frequency trading : [an evaluation of risks posed by high-speed algorithmic trading]

Becke, Susanne von der; Sornette, Didier - 2011

Persistent link: https://www.econbiz.de/10009561750

Excess financial volatility explained by endogenous excitations revealed by EM calibrations of a generalized Hawkes point process

Wehrli, Alexander; Sornette, Didier - 2021

this paper, we offer an explanation for one of these anomalies, the “excess volatility puzzle”, i.e. the observation that … inefficient) excess component. The endogenously induced excess volatility is found to be substantial, largely stable at longer … time scales and thus provides a plausible ex-planation for the excess volatility puzzle. Furthermore, strong endogenous …

Persistent link: https://www.econbiz.de/10012518955

The endo-exo problem in high frequency financial price fluctuations and rejecting criticality

Wheatley, Spencer; Wehrli, Alexander; Sornette, Didier - 2018

The endo-exo problem lies at the heart of statistical identi fication in many fields of science, and is often plagued by spurious strong-and-long memory due to improper treatment of trends, shocks and shifts in the data. A class of models that has shown to be useful in discerning exogenous and...

Persistent link: https://www.econbiz.de/10011900335

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

Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - 2020

The statistical estimate of the branching ratio η of the Hawkes model, when fitted to windows of mid-price changes, has been reported to approach criticality (η = 1) as the fitting window becomes large. In this study -- using price changes from the EUR/USD currency pair traded on the...

Persistent link: https://www.econbiz.de/10012219363