Methods and techniques for financial markets

Feng Zhou, Qun Zhang, Didier Sornette and Liu Jiang,
Cascading logistic regression onto gradient boosted decision trees to predict stock market changes using technical analysis,
Applied Soft Computing Journal 84, 105747, pp. 1-12 (2019)
Swiss Finance Institute Research Paper No. 18-50. Available at SSRN: https://ssrn.com/abstract=3218941

Zhi-Qiang Jiang, Wen-Jie Xie, Wei-Xing Zhou and Didier Sornette, Multifractal analyses of financial markets: a review Reports on Progress in Physics 82, 125901 (105pp) (2019) (external pagehttp://arxiv.org/abs/1805.04750)

Sandro Claudio Lera and Didier Sornette, Gross domestic product growth rates as confined Lévy flights: towards a unifying macro theory of economic growth rate fluctuations, Phys. Rev. E 97, 012150 (2018)

Hai-Chuan Xu, Wei-Xing Zhou and Didier Sornette, Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates, Journal of International Financial Markets, Institutions & Money 49, 173-183 (2017)

Guilherme Demos and Didier Sornette, Lagrange regularisation approach to compare nested data sets and determine objectively financial bubbles' inceptions, Computational Statistics (submitted 24 July 2017)
(external pagehttp://ssrn.com/abstract=3007070)

Maciej Jagielski, Ryszard Kutner and Didier Sornette, Theory of earthquakes interevent times applied to financial markets, Physica A 483, 68-73 (2017)
(external pagehttps://arxiv.org/abs/1610.08921)

Hao Meng, Hai-Chuan Xu, Wei-Xing Zhou and Didier Sornette, Symmetric thermal optimal path and time-dependent lead-lag relationship: novel statistical tests and application to UK and US real-estate and monetary policies, Quantitative Finance 17 (6), 959-977 (2017) (DOI: 10.1080/14697688.2016.1241424)
(external pagehttp://arxiv.org/abs/1408.5618 and external pagehttp://ssrn.com/abstract=2529961)

Tobias A. Huber and Didier Sornette, Can there be a Physics of Financial Markets? Methodological Reflections on Econophysics, Eur. Phys. J. Special Topics 225, 3187-3210 (2016), (Special Issue "Can economics be a physical science?" Sitabhra Sinha, Anindya S. Chakrabarti and Manipushpak Mitra (Editors) (2016), Published online: 22 December 2016, DOI: 10.1140/epjst/e2016-60158-5 (external pagehttp://epjst.epj.org/articles/epjst/abs/2016/12/contents/contents.html)

Diego Ardila and Didier Sornette, Dating the financial cycle:
a wavelet proposition, Finance Research Letters 19, 298-304 (2016)
(external pagehttp://ssrn.com/abstract=2775271)

A. Saichev, D. Sornette, V. Filimonov, F. Corsi, Bridge homogeneous volatility estimators, Quantitative Finance 14 (1), 87-89 (2013)
external pagehttp://dx.doi.org/10.1080/14697688.2013.819985
external page(http://arxiv.org/abs/0912.1617 and external pagehttp://ssrn.com/abstract=1523225)

A. Saichev, D. Sornette, V. Filimonov, Efficient High-Frequency Variance Estimators, The Journal of Investment Strategies 2 (4), 109-131 (2013)
external page(http://arxiv.org/abs/0908.1677 and external pagehttp://ssrn.com/abstract=1470004)

A. Saichev and D. Sornette, Large Time-Bridge Estimators of Integrated Variance, The Journal of Investment Strategies 2 (2), 71-108 (2013)
external page(http://arxiv.org/abs/1108.2611)

Michel Fuksa and Didier Sornette, The sentiment of the Fed, Financial Analysts Journal (submitted 21 Jan. 2013)
external page(http://ssrn.com/abstract=2191937)

Ryohei Hisano, Didier Sornette, Takayuki Mizuno, Takaaki Ohnishi, Tsutomu Watanabe, High quality topic extraction from business news explains abnormal financial market volatility, PLoS ONE 8 (6), e64846. doi: 10.1371external page/journal.pone.0064846 (2013)

Silvano Cincotti, Didier Sornette, Philip Treleaven, Stefano Battiston, Guido Caldarelli, Cars Hommes, Alan Kirman, DownloadAn economic and financial exploratory (PDF, 7 MB), European Journal of Physics: Special Topics 214, 361-400 (2012)

Kun Guo, Wei-Xing Zhou, Si-Wei Cheng and Didier Sornette, The US stock market leads the Federal funds rate and Treasury bond yields, PLoS ONE 6 (8), e22794 (2011) external page(http://dx.doi.org/10.1371/journal.pone.0022794)
external page(http://arxiv.org/abs/1102.2138) and external page(http://ssrn.com/abstract=1762788)

Wei-Xing Zhou, Guo-Hua Mu, Wei Cheng and Didier Sornette, Investment Strategies used as Spectroscopy of Financial Markets Reveal New Stylized Facts, , PLoS ONE 6 (9), e24391 (2011)
external page(http://arxiv.org/abs/1104.3616) and external page(http://ssrn.com/abstract=1908632)

Y. Malevergne, V. Pisarenko and D. Sornette, DownloadTesting the Pareto against the lognormal distributions with the uniformly most powerful unbiased test applied to the distribution of cities (PDF, 695 KB), Physical Review E 83, 036111 (2011)
external page(http://arxiv.org/abs/0909.1281)

Frank Schweitzer, Giorgio Fagiolo, Didier Sornette. Fernando Vega-Redondo, Douglas R. White, Economic Networks: DownloadWhat do we know and what do we need to know? (PDF, 205 KB), Advances in Complex Systems vol. 12, (4), 407-422 (2009)

F. Schweitzer, G. Fagiolo, D. Sornette. F. Vega-Redondo, A. Vespignani and D.R. White, Economic Networks; DownloadThe New Challenges, Science 325, 422-424 (2009) (PDF, 730 KB)

J.B. Satinover and D. Sornette, Anomalous Returns in a Neural Network Equity-Ranking Predictor, Financial Analysts Journal (2008)
external page(http://arxiv.org/abs/0806.2606)

G. Daniel and D. Sornette, Econophysics: historical perspectives, to be published in the Encyclopedia of Quantitative Finance. edited by Rama Cont external page(www.wiley.com/go/eqf), Section: History of Quantitative Modeling (1st section out of 21), edited by Perry Mehrling and Murad Taqqu (2008)
external page(http://arxiv.org/abs/0802.1416)

Wei-Xing Zhou and Didier Sornette, Lead-lag cross-sectional structure and detection of correlated-anticorrelated regime shifts: application to the volatilities of inflation and economic growth rates, Physica A 380, 287-296 (2007)
external page(http://arxiv.org/abs/physics/0607197)

Heping Pan, Didier Sornette and Kenneth Kortanek, Intelligent Finance - An Emerging Direction, Quantitative Finance 6 (4), 273 - 277 (2006)

W.-X. Zhou and D. Sornette, Non-parametric Determination of Real-Time Lag Structure between Two Time Series: the "Optimal Thermal Causal Path" Method with Applications to Economic Data, Journal of Macroeconomics, 28, 195-224 (2006)

Y. Malevergne, V.F. Pisarenko and D. Sornette, On the Power of Generalized Pareto Distribution (GPD) Estimators for Empirical Distributions of Log-Returns, Applied Financial Economics 16, 271-289 (2006)

V.F. Pisarenko and D.Sornette, New statistic for financial return distributions: power-law or exponential? Physica A 366, 387-400 (2006)
external page(http://arXiv.org/abs/physics/0403075)

D. Sornette and W.-X. Zhou, Non-parametric Determination of Real-Time Lag Structure between Two Time Series: the "Optimal Thermal Causal Path" Method, Quantitative Finance 5 (6), 577-591 (2005)
external page(http://arXiv.org/abs/cond-mat/0408166)

Y. Malevergne, V.F. Pisarenko and D. Sornette Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law? Quantitative Finance 5 (4), 379-401 (2005)
external page(http://arXiv.org/abs/physics/0305089)

Wei-Xing Zhou and Didier Sornette, Non-Parametric Analyses of Log-Periodic Precursors to Financial Crashes, Int. J. Mod. Phys. C 14 (8), 1107-1126 (2003)
external page(http://arXiv.org/abs/cond-mat/0205531)