Harras, Georges

ETH Zürich Georges Harras Chair of Entrepreneurial Risks KPL H 7 Kreuzplatz 5 8032 Zuerich Phone: +41 44 632 84 54 E-Mail:

Publications

• How to grow a bubble: A model of myopic adapting agents, G.Harras, D.Sornette, Journal of Economic Behavior & Organization (2011), doi, preprint
• Noise-induced volatility of collective dynamics, G.Harras, C.J. Tessone, D.Sornette, Physical Review E (2012), doi, preprint
• Volatility induced Overreaction: Evidence from daily return autocorrelation, G.Harras, D.Sornette, to be submitted

Topics of interest

My main interest lies in the study of price dynamics and investor behavior of financial markets, focusing on:

• excess volatility
• momentum in prices
• bubbles and crashes
• sentiment analysis

These phenomena are studied via empirical and a theoretical methods, such as:

• time-series analysis and econometrics
• data mining
• stochastic processes
• agent based simulations

The theoretical models are, on one side based on findings of behavioral finance, on the other side inspired by models of emergent phenomena from complex system science and statistical physics, which constitutes my background.