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Sornette, Didier; Cauwels, Peter - 2013

evolution of financial, economic and social systems and to construct scenarios for the future. In a nutshell, highly non … logical scenarios that derive, avoiding the traps of an illusionary stability and simple linear extrapolation. The endogenous … scenarios are "muddling along", "managing through" and "blood red abyss". The exogenous scenarios are "painful adjustment" and …

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

Fractional cointegration analysis of securitized real estate

Serrano, Camilo; Hoesli, Martin - 2009

This paper uses fractional cointegration analysis to examine whether long-run relations exist between securitized real estate returns and three sets of variables frequently used in the literature as the factors driving securitized real estate returns. That is, we examine whether such...

Persistent link: https://www.econbiz.de/10003970286

Reverse engineering financial markets with majority and minority games using genetic algorithms

Wiesinger, Judith; Sornette, Didier; Satinover, Jeffrey - 2010

Using virtual stock markets with artificial interacting software investors, aka agent-based models (ABMs), we present a method to reverse engineer real-world financial time series. We model financial markets as made of a large number of interacting boundedly rational agents. By optimizing the...

Persistent link: https://www.econbiz.de/10003973139

Diagnosis and prediction of market rebounds in financial markets

Yan, Wanfeng; Woodard, Ryan; Sornette, Didier - 2010

We introduce the concept of “negative bubbles” as the mirror image of standard financial bubbles, in which positive feedback mechanisms may lead to transient accelerating price falls. To model these negative bubbles, we adapt the Johansen-Ledoit-Sornette (JLS) model of rational expectation...

Persistent link: https://www.econbiz.de/10003979508

Forecasting customer behaviour in a multi-service financial organisation : a profitability perspective

Audzeyeva, Alena; Summers, Barbara; Schenk-Hoppé, … - 2010

This paper proposes a novel approach to the estimation of Customer Lifetime Value (CLV). CLV measures give an indication of the profit-generating potential of customers, and provide a key business tool for the customer management process. Existing approaches show unsatisfactory performance in...

Persistent link: https://www.econbiz.de/10008797765

An econometric analysis of emission trading allowances

Paolella, Marc S. (contributor); Taschini, Luca (contributor) - 2006

World power and gas markets have a natural relationship with global tradable carbon permits markets, including the U.S. Clean Air Act Amendments and the EU Emissions Trading Scheme, the latter officially launched in January 2005. Electric utilities operate their power plants based in part on the...

Persistent link: https://www.econbiz.de/10003394343

Are securitized real estate returns more predictable than stock returns?

Serrano, Camilo; Hoesli, Martin - 2008

This paper examines whether the predictability of securitized real estate returns differs from that of stock returns. It also provides a cross-country comparison of securitized real estate return predictability. In contrast to most of the literature on this issue, the analysis is not based on a...

Persistent link: https://www.econbiz.de/10003962134

Assessing multivariate predictors of financial market movements : a latent factor framework for ordinal data

Huber, Philippe; Scaillet, Olivier; Victoria-Feser, … - 2008

Much of the trading activity in Equity markets is directed to brokerage houses. In exchange they provide so-called quot;soft dollarsquot; which basically are amounts spent in quot;researchquot; for identifying profitable trading opportunities. Soft dollars represent about USD 1 out of every USD...

Persistent link: https://www.econbiz.de/10003966616

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

Multivariate asset return prediction with mixture models

Paolella, Marc S. - 2011

The use of mixture distributions for modeling asset returns has a long history in finance. New methods of demonstrating support for the presence of mixtures in the multivariate case are provided. The use of a two-component multivariate normal mixture distribution, coupled with shrinkage via a...

Persistent link: https://www.econbiz.de/10009375153