In January 1999, the authors published a quantitative prediction that the Nikkei index should recover from its 14 year low in January 1999 and reach approx 20500 a year later. The purpose of the present paper is to evaluate the performance of this specific prediction as well as the underlying...

We present a synthesis of all the available empirical evidence in the light of recent theoretical developments for the existence of characteristic log-periodic signatures of growing bubbles in a variety of markets including 8 unrelated crashes from 1929 to 1998 on stock markets as diverse as the...

Drawdowns (loss from the last local maximum to the next local minimum) are essential aspects of risk assessment in investment management. They offer a more natural measure of real market risks than the variance or other cumulants of daily (or some other fixed time scale) distributions of...

In January 1999, the authors published a quantitative prediction that the Nikkei index should recover from its 14 year low in January 1999 and reach approximately 20,500 a year later. The purpose of the present paper is to evaluate the performance of this specific prediction as well as the...

We present a synthesis of all the available empirical evidence in the light of recent theoretical developments for the existence of characteristic log-periodic signatures of growing bubbles in a variety of markets including 8 unrelated crashes from 1929 to 1998 on stock markets as diverse as the...

We investigate the relative information content of six measures of dependence between two random variables X and Y for large or extreme events for several models of interest for financial time series. The six measures of dependence are respectively the linear correlation and Spearman's rho...

We present a synthesis of all the available empirical evidence in the light of recent theoretical developments for the existence of characteristic log-periodic signatures of growing bubbles in a variety of markets including 8 unrelated crashes from 1929 to 1998 on stock markets as diverse as the...

The financial crisis of 2008, which started with an initially well-defined epicenter focused on mortgage backed securities (MBS), has been cascading into a global economic recession, whose increasing severity and uncertain duration has led and is continuing to lead to massive losses and damage...