We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the momentum-sorted portfolios entirely but not the reverse....

We augment the existing literature using the Log-Periodic Power Law Singular (LPPLS) structures in the log-price dynamics to diagnose financial bubbles by providing three main innovations. First, we introduce the quantile regression to the LPPLS detection problem. This allows us to disentangle...

To study coordination in complex social systems such as financial markets, the authors introduce a new prediction market set -up that accounts for fundamental uncertainty. Nonetheless, the market is designed so that its total value is known, and thus its rationality can be evaluated. In two...

Many predictions and conclusions in climate change literature have been made on the basis of theoretical analyses and quantitative models that assume exogenous technological change. One may wonder if those policy prescriptions hold in the more realistic case of endogenously evolving...

We propose an extension of the class of rational expectations bubbles (REBs) to the more general rational beliefs setting of Kurz (1994a,b). In a potentially non-stationary but stationarizable environment, among an heterogenous population of agents, it is possible to hold more than one...

To study coordination in complex social systems such as financial markets, the authors introduce a new prediction market set-up that accounts for fundamental uncertainty. Nonetheless, the market is designed so that its total value is known, and thus its rationality can be evaluated. In two...