Volatility and return, anomalies and predictions

Alexander Wehrli, Spencer Wheatley and Didier Sornette,
Scale-, time- and asset-dependence of Hawkes process parameters estimated on high frequency price change data, Quantitative Finance 21 (5), 729-752, (2021)
(external pagehttps://doi.org/10.1080/14697688.2020.1838602)
(external pagehttp://ssrn.com/abstract=3597938)

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, Information Sciences (submitted 24 July 2018), Swiss Finance Institute Research Paper No. 18-50. Available at SSRN: external pagehttps://ssrn.com/abstract=3218941

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

Marco Lissandrin, Donnacha Daly and Didier Sornette, Statistical Testing of DeMark Technical Indicators on Commodity Futures, Journal of Investment Strategies 6(3), 53-91 (2017) (external pagehttp://ssrn.com/abstract=2696155)

Ke Wu, Spencer Wheatley and Didier Sornette, The British Pound on Brexit night: a natural experiment of market efficiency and real-time predictability, Journal of Political Economics (submitted 29 March 2017) (external pagehttp://ssrn.com/abstract=2940173), DownloadSwiss Finance Institute, May 2017 (PDF, 902 KB)

Benjamin Vandermarliere, Jan Ryckebusch, Koen Schoors, Peter Cauwels and Didier Sornette, Discrete hierarchy of sizes and performances in the exchange-traded fund universe Physica A: Statistical Mechanics and its Applications 469, 111-123 (2017)
(external pagehttp://arxiv.org/abs/1608.08582)

Yoshihiro Yura, Hideki Takayasu, Didier Sornette and Misako Takayasu, Financial Knudsen number: breakdown of continuous price dynamics and asymmetric buy and sell structures confirmed by high precision order book information, Phys. Rev. E 92, 042811 (2015)

V. Filimonov and D. Sornette, Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data, Quantitative Finance DOI: 10.1080/14697688.2015.1032544, 1-22 (2015) (external pagehttp://arxiv.org/abs/1308.6756 and external pagehttp://ssrn.com/abstract=2371284)

Sandro Claudio Lera and Didier Sornette, Constrained random walk models for euro/Swiss franc exchange rates above the imposed cap, PNAS (submitted 28 April 2015)
Movie of EUR-CHF
Movie of USD-HKDL

L. Fievet, Z. Forro, P. Cauwels and D. Sornette, Forecasting future oil production in Norway and the UK: a general improved methodology, Energy 79, 288–297 (2015) (doi:10.1016/j.energy.2014.11.014) external page(http://ssrn.com/abstract=2465087)

Vladimir Filimonov and Didier Sornette, Mythes, réalités et objectif général des transactions à haute fréquence, La Vie Economique (Revue de politique économique) 5, 20-22 (2014), (german version: DownloadDie Volkswirtschaft5 (PDF, 354 KB), 20-22 (2014)) (printed by the Département Fédéral de l'Economie, de la Formation et de la Recherche, Secrétariat d'Etat à l'Economie Suisse)

A. Saichev and D. Sornette, A simple microstructure return model explaining microstructure noise and Epps effects, International Journal of Modern Physics C 25 (6),1450012 (36 pages) (2014)
external page(http://arxiv.org/abs/1202.3915 and external pagehttp://ssrn.com/abstract=2009392)

Yoshihiro Yura, Hideki Takayasu, Didier Sornette and Misako Takayasu,
Financial Brownian particle in the critical order book fluid and Fluctuation-Dissipation theorems, Phys. Rev. Letts. 112, 098703 (2014)
external page(http://ssrn.com/abstract=2392484)

Vladimir Filimonov, David Bicchetti, Nicolas Maystre and Didier Sornette, Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Prices, The Journal of International Money and Finance 42, 174-192 (2014)
external page(http://ssrn.com/abstract=2237392)

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 and Tsutomu Watanabe, High quality topic extraction from business news explains abnormal financial market volatility, Proc. Natl. Acad. Sci. USA (submitted 24 October 2012)

V. Filimonov and D. Sornette, Quantifying reflexivity in financial markets: towards a prediction of flash crashes, Phys. Rev. E 85 (5): 056108 (2012)
external page(http://arxiv.org/abs/1201.3572 and external pagehttp://ssrn.com/abstract=1998832)

V. Filimonov and D. Sornette, Spurious trend switching phenomena in financial markets, Eur. Phys. J. B 85, 155, 1-5 (2012)
external page(http://arxiv.org/abs/1112.3868)

D. Sornette and S. von der Becke, Crashes and High Frequency Trading (an evaluation of risks posed by high-speed algorithmic trading), report for the UK Government project entitled "The Future of Computer Trading in Financial Markets", Foresight Driver Review - DR7, Government Office for Science, 2nd Floor, 1 Victoria Street, London SW1H 0ET, United Kingdom (2011)
external page(http://ssrn.com/abstract=1976249)

V.A. Filimonov and D. Sornette, Self-Excited Multifractal Dynamics, Europhysics Letters 94, 46003 (2011) doi: 10.1209/0295-5075/94/46003
external page(http://arxiv.org/abs/1008.1430)

D. Sornette and V.F. Pisarenko, Properties of a simple bilinear Sochastic model: estimation and predictability, Physica D 237 (4), 429-445 (2008)
external page(http://arxiv.org/abs/physics/0703217)

D. Sornette, Y. Malevergne and J.-F. Muzy, Volatility Fingerprints of Large Shocks: Endogenous Versus Exogenous, in "Application of Econophysics,'' Proceedings of the second Nikkei symposium on econophysics, H. Takayasu, ed., Springer Verlag, ISBN 4-431-14028-X, 334 p. 137 illus. (2004)

D. Sornette, Y. Malevergne and J.F. Muzy, What causes crashes? Risk Volume 16 (2), 67-71 (2003)
external page(http://arXiv.org/abs/cond-mat/0204626)

J.-F. Muzy, D. Sornette, J. Delour and A. Arneodo, Multifractal returns and Hierarchical Portfolio Theory, Quantitative Finance 1 (1), 131-148 (2001)
external page(http://arXiv.org/abs/cond-mat/0008069)

D. Sornette and J.V. Andersen, Increments of uncorrelated time series can be predicted with a universal 75% probability of success., Int. J. Mod. Phys. C Vol. 11 (4), 713-720 (2000)
external page(http://arXiv.org/abs/cond-mat/0001324)

J. V. Andersen, S. Gluzman and D. Sornette, Fundamental Framework for Technical Analysis, European Physical Journal B 14, 579-601 (2000)
external page(http://xxx.lanl.gov/abs/cond-mat/9910047)

A. Arneodo, J.-F. Muzy and D. Sornette, "Direct'' causal cascade in the stock market, European Physical Journal B 2, 277-282 (1998)
external page(http://xxx.lanl.gov/abs/cond-mat/9708012)

A. Arneodo, J.-P. Bouchaud, R. Cont, J.-F. Muzy, M. Potter and D. Sornette, unpublished comment on ''Turbulent cascades in foreign exchange markets'', (reply to Ghashghaie, S., Breymann, W., Peinke, J., Talkner, P. and Dodge, Y. Nature 381 767 (1996)
external page(http://xxx.lanl.gov/abs/cond-mat/9607120)