We introduce a novel non-parametric methodology to test for the dynamical time evolution of the lag-lead structure between two arbitrary time series. The method consists in constructing a distance matrix based on the matching of all sample data pairs between the two time series. Then, the...

We present a general methodology to incorporate fundamental economic factors to our previous theory of herding to describe bubbles and antibubbles. We start from the strong form of Rational Expectation and derive the general method to incorporate factors in addition to the log-periodic power law...

We study a dynamical Ising model of agents' opinions (buy or sell) with coupling coefficients reassessed continuously in time according to how past external news (magnetic field) have explained realized market returns. By combining herding, the impact of external news and private information, we...

We analyze 27 house price indexes of Las Vegas from Jun. 1983 to Mar. 2005, corresponding to 27 different zip codes. These analyses confirm the existence of a real-estate bubble, defined as a price acceleration faster than exponential, which is found however to be confined to a rather limited...

A remarkable similarity in the behaviour of the US S&P500 index from 1996 to August 2002 and of the Japanese Nikkei index from 1985 to 1992 (11 year shift) is presented, with particular emphasis on the structure of the bearish phases. Extending a previous analysis of Johansen and Sornette on the...

We introduce a novel non-parametric methodology to test for the dynamical time evolution of the lag-lead structure between two arbitrary time series. The method consists of constructing a distance matrix based on the matching of all sample data pairs between the two time series. Then, the...