Bubbles and crashes: theory

 

Michael Schatz and Didier Sornette, Inefficient bubbles and efficient drawdowns in financial markets,  International Journal of Theoretical and Applied Finance 23 (7), 2050047 (56 pages) (2020) DOI: 10.1142/S0219024920500478 (2020) (external pagehttp://ssrn.com/abstract=3210598)

Rebecca Westphal and Didier Sornette,
Market impact and performance of arbitrageurs of financial bubbles in an agent-based model, Journal of Economic Behavior and Organization 171, 1-23 (2020)
(external pagehttp://ssrn.com/abstract=3396989)

Michael Schatz and Didier Sornette,
The uniformly integrable martingale property of single jump diffusions used in financial bubble models, SIAM Journal on Financial Mathematics 10 (2), 615-631 (2019) (external pagehttp://ssrn.com/abstract=2987695) see also: DownloadReprint non-uniform-integrable bubble 2019 (PDF, 449 KB)

Richard Senner and Didier Sornette, A Simple Model of Financial Crises: Household Debt, Inequality and Housing Wealth, Cambridge Journal of Economics (submitted 20 April 2018) (external pagehttp://ssrn.com/abstract=3176904)

H. Sohn and D. Sornette, A new definition of bubbles: Bubbles as violations of efficient time-scales, Financial Analysts Journal (submitted 5 May 2018) (external pagehttp://ssrn.com/abstract=3081563)
featured at INET: external pagehttps://www.ineteconomics.org/research/research-papers/bubbles-as-violations-of-efficient-time-scales

H. Sohn and D. Sornette, Rational belief bubbles, Economic Theory (submitted 5 May 2018)
(external pagehttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=3176871)

Damian Smug, Didier Sornette and Peter Ashwin, A generalized 2D-dynamical mean-field Ising model with a rich set of bifurcations, Int. J. of  Bifurcation and Chaos 28 (4), 1830010 (14 pages) (2018)
(external pagehttp://ssrn.com/abstract=3064673)

Damian Smug, Peter Ashwin and Didier Sornette, Predicting Financial Market Crashes Using Ghost Singularities, PLoS ONE 13(3): e0195265. external pagehttps://doi.org/10.1371/journal.pone.0195265 (2018)
(external pagehttp://ssrn.com/abstract=2990488)

Susanne von der Becke and Didier Sornette, An Asset-Based Framework of Credit Creation (applied to the Global Financial Crisis) Accounting, Economics and Law: A Convivium, 20150002, DE GRUYTER, pp. 1-21 (2017)
(external pagehttp://ssrn.com/abstract=2395272)

Susanne von der Becke and Didier Sornette, Should banks be banned from creating money? An analysis from the perspective of hierarchical money, Journal of Economic Issues 51 (4), 1019-1032 (December 2017), DOI 10.1080/00213624.2017.1391586

Li Lin, Michael Schatz and Didier Sornette
A simple mechanism for financial bubbles: time-varying momentum horizon, Quantitative Finance 19 (6), 937-959 (2019)
Swiss Finance Institute Research Paper No. 16-61. Available at SSRN: external pagehttps://ssrn.com/abstract=2854063

Jeroen Rozendaal, Yannick Malevergne, Didier Sornette, Macroeconomic Dynamics of Assets, Leverage and Trust, Int. J. Bifurc. and Chaos 26 (8) 1650133 (23 pages) (2016)
(external pagehttp://arxiv.org/abs/1512.03618)

Maximilian Seyrich and Didier Sornette, Micro-foundation using percolation theory of the finite-time singular behavior of the crash hazard rate in a class of rational expectation bubbles, International Journal of Modern Physics C 27 (10), 1650113 (20 pages) (2016)
(external pagehttp://ssrn.com/abstract=2722383 and external pagehttp://arxiv.org/abs/1601.07707)

Didier Sornette and Peter Cauwels, Financial bubbles: mechanisms and diagnostics Review of Behavioral Economics 2 (3), 279- 305 (2015) (external pagehttp://arxiv.org/abs/1404.2140 and external pagehttp://ssrn.com/abstract=2423790)

Didier Sornette and Peter Cauwels, Managing risk in a creepy world, Journal of Risk Management in Financial Institutions (JRMFI) 8 (1), 83-108 (2015) (external pagehttp://arxiv.org/abs/1401.3281 and external pagehttp://ssrn.com/abstract=2388739)

V.I. Yukalov, E.P. Yukalova and D. Sornette, Dynamical system theory of periodically collapsing bubbles, Eur. Phys. J. B. 88, 179 (pp. 1-14) (2015)

T. Kaizoji, M. Leiss, A. Saichev and D. Sornette Super-exponential endogenous bubbles in an equilibrium model of rational and noise traders, Journal of Economic Behavior and Organization, 112, 289-310 (2015)
external page(http://ssrn.com/abstract=2561719)

Li Lin, Ren R.E. and Didier Sornette, The Volatility-Confined LPPL Model: A Consistent Model of "Explosive" Financial Bubbles With Mean-Reversing Residuals, International Review of Financial Analysis 33, 210-225 (2014) 
(external pagehttp://arxiv.org/abs/0905.0128 and external pagehttp://papers.ssrn.com /abstract=1407574)

Fulvio Corsi and Didier Sornette, Follow the money: The monetary roots of bubbles and crashes, International Review of Financial Analysis 32, 47-59 (March 2014) external pagehttp://dx.doi.org/10.1016/j.irfa.2014.01.007
external page(http://ssrn.com/abstract=1966038)

Didier Sornette and Susanne von der Becke, DownloadComplexity clouds finance-risk models (A response to Andrew G. Haldane & Robert M. May, Neil Johnson and Thomas Lux (PDF, 152 KB)), Nature 471, 166 (10 March 2011)
"long version: Systemic Risk in Banking: It is complex but not that complicated" Haldan & May's Paper; Johnson and Lux

Didier Sornette, Risk Management and Governance Lessons and Prospects from the 2007-2XX Crisis, REVUE für Postheorisches Management 7, 44-53 (2010)

J. Satinover and D. Sornette, Taming Manias: On the Origins, Inevitability, Prediction and Regulation of Bubbles and Crashes, chapter of the book "Governance and Control of Financial Systems: A Resilience Engineering Perspective'', Gunilla Sundström and Erik Hollnagel, eds., published by Ashgate Publishing Group in their Resilience Engineering Perspectives series.
external page(http://ssrn.com/abstract=1646428)

Pawel Sieczka, Didier Sornette and Janusz A. Holyst, The Lehman Brothers Effect and Bankruptcy Cascades, European Physical Journal B 82 (3-4), 257-269 (2011)
DOI: 10.1140/epjb/e2011-10757-2 external page(http://ssrn.com/abstract=1547172)

Li Lin and Didier Sornette, Diagnostics of Rational Expectation Financial Bubbles with Stochastic Mean-Reverting Termination Times, The European Journal of Finance, DOI: 10.1080/1351847X.2011.607004 (2011)
external page(http://dx.doi.org/10.1080/1351847X.2011.607004) (http://arxiv.org/abs/0911.1921)

Didier Sornette, Dragon-Kings, Black Swans and the Prediction of Crises, International Journal of Terraspace Science and Engineering 2 (1), 1-18 (2009)
external page(http://arXiv.org/abs/0907.4290)

Didier Sornette and Ryan Woodard, Financial Bubbles, Real Estate Bubbles, and the Financial and Economic Crisis (2009)
external page(http://arxiv.org/abs/0905.0220) in Proceedings of APFA7 (Applications of Physics in Financial Analysis), "New Approaches to the Analysis of Large-Scale Business and Economic Data" Misako Takayasu, Tsutomu Watanabe and Hideki Takayasu, eds., Springer (2010)  

T. Kaizoji and D. Sornette, Market Bubbles and Crashes, the Encyclopedia of Quantitative Finance (Wiley, 2009) external pagehttp://www.wiley.com//legacy/wileychi/eqf/
(long version at external pagehttp://arxiv.org/abs/0812.2449)

Didier Sornette, Trust! Why it Has Been Lost and How to Regain It, Occasional Paper Series Nb 02 of the Swiss Finance Institute (2008)
external page(http://www.swissfinanceinstitute.ch/faculty_research/publications/ops.htm)
external page(http://arxiv.org/abs/0810.4608)

V.I. Yukalov, D. Sornette and E.P. Yukalova, Nonlinear Dynamical Model of Regime Switching Between Conventions and Business Cycles, J. Economic Behavior and Organization 70, 206-230 (2009)
external page(http://arxiv.org/abs/nlin.AO/0701014)

G. Broekstra, D. Sornette and W.-X. Zhou, Bubble, Critical Zone and the Crash of Royal Ahold, Physica A 346, 529-560 (2005)
external page(http://arXiv.org/abs/cond-mat/0403563) and external page(http://papers.ssrn.com/sol3/papers.cfm?abstract_id=520603)

B.M. Roehner, D. Sornette and J.V. Andersen, Response Functions to Critical Shocks in Social Sciences: An Empirical and Numerical Study, Int. J. Mod. Phys. C 15 (6), 809-834 (2004)
external page(http://arXiv.org/abs/cond-mat/0402408)

J. V. Andersen and D. Sornette, Fearless versus Fearful Speculative Financial Bubbles, Physica A 337 (3-4), 565-585 (2004)
external page(http://arXiv.org/abs/cond-mat/0311089)

D. Sornette, Critical market crashes, Physics Reports 378 (1), 1-98 (2003)
(external pagehttp://arXiv.org/abs/cond-mat/0301543)

W.-X. Zhou and D. Sornette, Renormalization Group Analysis of the 2000-2002 anti-bubble in the US S&P 500 index: Explanation of the hierarchy of 5 crashes and Prediction, Physica A 330, 584-604 (2003)
(external pagehttp://arXiv.org/abs/physics/0301023)

D. Sornette, H. Takayasu and W.-X. Zhou, Finite-Time Singularity Signature of Hyperinflation, Physica A 325, 492-506 (2003)
external page(http://arXiv.org/abs/physics/0301007)

D. Sornette, Vers une prediction des evenements catastrophiques? Risques 50, 111-112 (2002)

D. Sornette, Pushing the limits: extremes and crashes in finance and economics, Computer Physics Communications, 147, 19-21 (2002)
external pagelink to the article

D. Sornette, Predictability of catastrophic events: material rupture, earthquakes, turbulence, financial crashes and human birth, Proceedings of the National Academy of Sciences USA, V99 SUPP1:2522-2529 (2002)
external page(http://arXiv.org/abs/cond-mat/0107173)

D. Sornette and J.V. Andersen, A Nonlinear Super-Exponential Rational Model of Speculative Financial Bubbles, Int. J. Mod. Phys. C 13 (2), 171-188 (2002)
external page(http://arXiv.org/abs/cond-mat/0104341)

D. Sornette and K. Ide, Theory of self-similar oscillatory finite-time singularities in Finance, Population and Rupture, Int. J. Mod. Phys. C 14 (3), 267-275 (2002)
external page(http://arXiv.org/abs/cond-mat/0106054)

K. Ide and D. Sornette, Oscillatory Finite-Time Singularities in Finance, Population and Rupture, Physica A 307 (1-2), 63-106 (2002)
external page(http://arXiv.org/abs/cond-mat/0106047)

T. Lux and D. Sornette. On Rational Bubbles and Fat Tails, Journal of Money, Credit and Banking, Part 1, vol. 34, No. 3, 589-610 (2002)
external page(http://xxx.lanl.gov/abs/cond-mat/9910141)

D. Sornette and A. Johansen, Significance of log-periodic precursors to financial crashes, Quantitative Finance 1 (4), 452-471 (2001)
external page(http://arXiv.org/abs/cond-mat/0106520)

Y. Malevergne and D. Sornette, Multi-dimensional Rational Bubbles and fat tails, Quantitative Finance 1, 533-541 (2001)
external page(http://arXiv.org/abs/cond-mat/0101371)

D. Sornette and Y. Malevergne, From Rational Bubbles to Crashes, Physica A 299, 40-59 (2001)
external page(http://arXiv.org/abs/cond-mat/0102305)

A. Johansen, O. Ledoit and D. Sornette, Crashes as critical points, International Journal of Theoretical and Applied Finance Vol. 3, No. 2 219-255 (2000)
external page(http://xxx.lanl.gov/abs/cond-mat/9810071)

A. Johansen, D. Sornette and O. Ledoit, Predicting Financial Crashes using discrete scale invariance, Journal of Risk, vol. 1, number 4, 5-32 (1999)
external page(http://xxx.lanl.gov/abs/cond-mat/9903321)

D. Sornette and A. Johansen, A Hierarchical Model of Financial Crashes, Physica A 261, 581-598 (1998)
external page(http://www.sciencedirect.com/science/sornette&johansen)

D. Sornette and A. Johansen, Large financial crashes, Physica A 245, N3-4, 411-422 (1997)
external page(http://xxx.lanl.gov/abs/cond-mat/9704127)

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