Didier Sornette

Discipline

Economies et finances (16) Méthodes et statistiques (1)

Type de document

Articles (14) Textes imprimés (5) Livres et chapitres d'ouvrages (2) Prépublication (1)

Co-auteur

Date

Source

Mot-clé

Finance (20) Finance (20) Political science (17) administration (16) State, The (16) Management (16) Administrative law (16) Administration of estates (16) Administration (16) Administration (16) modèle (11) Example (11) temps (durée) (10) Time (10) marché (9) risque (8) Risk (8) prix (7) Value (7) Series (7) Growth (7) Bubbles (7) Growth (7) spectacle (6) science économique (6) Tail (6) Economics (6) analyse (5) taux (5) Dynamics (5)

Documents écrit par Didier Sornette (22) | parle de Didier Sornette (0)

A model of financial bubbles and drawdowns with non-local behavioral self-referencing
Yannick Malevergne et al. (2 mars 2023)
Processes analogous to ecological interactions and dispersal shape the dynamics of economic activities
Victor Boussange et al. (23 janv. 2023)
Awareness of crash risk improves Kelly strategies in simulated financial time series
Jan-Christian Gerlach et al. (20 avr. 2020)
The fair reward problem: the illusion of success and how to solve it
Didier Sornette et al. (3 févr. 2019)
Dissection of Bitcoin's Multiscale Bubble History from January 2012 to February 2018
Jan-Christian Gerlach et al. (17 avr. 2018)
Are Bitcoin Bubbles Predictable? Combining a Generalized Metcalfe's Law and the LPPLS Model
Spencer Wheatley et al. (15 mars 2018)
Investors' expectations, management fees and the underperformance of mutual funds
Andreas Huesler et al. (1 oct. 2014)
Zipf's law and maximum sustainable growth
Yannick Malevergne et al. (1 juin 2013)
Theory of Zipf's Law and Beyond
Yannick Malevergne et al. (1 janv. 2010)
Self-consistent asset pricing models
Yannick Malevergne et al. (1 août 2007)
The modified weibull distribution for asset returns: reply
Yannick Malevergne et al. (1 déc. 2006)
Extreme Financial Risks : From Dependence to Risk Management
Yannick Malevergne et al. (1 janv. 2006)
On the Power of Generalized Extreme Value (GEV) and Generalized Pareto Distribution (GPD) Estimators for Empirical Distributions of Stock Returns
Yannick Malevergne et al. (1 janv. 2006)
Empirical Distributions of Stock Returns : Between the Stretched Exponential and the Power Law?
Yannick Malevergne et al. (1 sept. 2005)
How to account for extreme co-movements between individual stocks and the market
Yannick Malevergne et al. (1 avr. 2004)
Value-at-Risk-efficient portfolios for class of super- and sub-exponentially decaying assets return distributions
Yannick Malevergne et al. (1 janv. 2004)
Collective origin of the coexistence of apparent random matrix theory noise and of factors in large sample correlation matrices
Yannick Malevergne et al. (1 janv. 2004)
Testing the Gaussian copula hypothesis for financial assets dependence
Yannick Malevergne et al. (1 août 2003)
Minimizing extremes
Yannick Malevergne et al. (1 nov. 2002)
Imitation and contrarian behavior : hyperbolic bubbles, crashes and chaos
Anne Corcos et al. (1 août 2002)
Multi-dimensional rational bubbles and fat tails
Yannick Malevergne et al. (1 oct. 2001)
From rational bubbles to crashes
Didier Sornette et al. (1 oct. 2001)