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"Speculative Influence Network" during financial bubbles : application to Chinese stock markets

Lin, Li; Sornette, Didier - In: Journal of economic interaction and coordination : JEIC 13 (2018) 2, pp. 385-431

Persistent link: https://www.econbiz.de/10011962258

A model of financial bubbles and drawdowns with non-local behavioral self-referencing

Malevergne, Yannick; Sornette, Didier; Wei, Ran - 2021

We propose a novel class of models in which the crash hazard rate is determined by a function of a non-local estimation of mispricing. Rooted in behavioral finance, the non-local estimation embodies in particular the characteristic of "anchoring" on past price levels and the "probability...

Persistent link: https://www.econbiz.de/10012800780

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

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

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