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Bubble diagnosis and prediction of the 2005–2007 and 2008–2009 Chinese stock market bubbles
Jiang, Zhi-Qiang; Zhou, Wei-Xing; Sornette, Didier; … - In: Journal of economic behavior & organization : JEBO 74 (2010) 3, pp. 149-163
Persistent link: https://www.econbiz.de/10008409648
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Investment strategies used as spectroscopy of financial markets reveal new stylized facts
Zhou, Wei-xing; Mu, Guo-hua; Chen, Wei; Sornette, Didier - In: Inventi impact: emerging economies (2011) 4, pp. 216-224
Persistent link: https://www.econbiz.de/10010148396
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Predictability of large future changes in major financial indices
Sornette, Didier; Zhou, Wei-Xing - In: International journal of forecasting 22 (2006) 1, pp. 153-168
Persistent link: https://www.econbiz.de/10006955676
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Non-parametric determination of real-time lag structure between two time series: The “optimal thermal causal path” method with applications to economic data
Zhou, Wei-Xing; Sornette, Didier - In: Journal of macroeconomics 28 (2006) 1, pp. 195-224
Persistent link: https://www.econbiz.de/10007635237
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Analysis of trade packages in the Chinese stock market
Ren, Fei; Zhou, Wei-Xing - In: Quantitative finance 13 (2013) 7, pp. 1071-1089
Persistent link: https://www.econbiz.de/10010141823
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PORTFOLIO MANAGEMENT - Higher-Moment Portfolio Theory
Malevepgne, Yannick; Sornette, Didier - In: The journal of portfolio management : a publication of … 31 (2005) 4, pp. 49-55
Persistent link: https://www.econbiz.de/10006545886
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On Rational Bubbles and Fat Tails
Lux, Thomas; Sornette, Didier - In: Journal of money, credit and banking : JMCB 34 (2002) 3, pp. 589-610
Persistent link: https://www.econbiz.de/10006654209
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PERFORMANCE EVALUATION - LOOK-AHEAD BENCHMARK BIAS IN PORTFOLIO PERFORMANCE EVALUATION
Daniel, Gilles; Sornette, Didier; Wohrmann, Peter - In: The journal of portfolio management : a publication of … 36 (2009) 1, pp. 121-130
Persistent link: https://www.econbiz.de/10008332079
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Tail risk: What causes crashes? - Are large market events caused by exogenous shocks or can they occur endogenously? Here, the authors ask this question of large stock market event...
Sornette, Didier; Malevergne, Yannick; Muzy, Jean-François - In: Risk : managing risk in the world's financial markets 16 (2003) 2, pp. 67-72
Persistent link: https://www.econbiz.de/10007033743
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Portfolio tail risk: Minimising extremes - Portfolio diversification often breaks down in stressed market environments, but the co-movement of asset prices in a tail risk regime ma...
Malevergne, Yannick; Sornette, Didier - In: Risk : managing risk in the world's financial markets 15 (2002) 11, pp. 129-134
Persistent link: https://www.econbiz.de/10007034938