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 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...

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 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...

Abreu and Brunnermeier (2003) have argued that bubbles are not suppressed by arbitrageurs because they fail to synchronise on the uncertain beginning of the bubble. We propose an indirect quantitative test of this hypothesis and confront it with the alternative according to which bubbles persist...

We analyse the consequences of predicting and exploiting financial bubbles in an agent-based model, with a risky and a risk-free asset and three different trader types: fundamentalists, noise traders and "dragon riders" (DR). The DR exploit their ability to diagnose financial bubbles from the...

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...