Methods and techniques for financial markets

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) (http://dx.doi.org/10.1371/journal.pone.0022794)
(http://arxiv.org/abs/1102.2138) and (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)
(http://arxiv.org/abs/1104.3616) and (http://ssrn.com/abstract=1908632)

A. Saichev, D. Sornette, V. Filimonov and F. Corsi, Homogeneous Volatility Bridge Estimators, Econometrics Journal (2009)
(http://arxiv.org/abs/0912.1617)

Y. Malevergne, V. Pisarenko and D. Sornette, Testing the Pareto against the lognormal distributions with the uniformly most powerful unbiased test applied to the distribution of cities, Physical Review E 83, 036111 (2011)
(http://arxiv.org/abs/0909.1281) and (http://papers.ssrn.com/so13/papers.cfm?abstract_id=1479481)

A. Saichev, D. Sornette, V. Filimonov, Most Efficient Homogeneous Volatility Estimators, Econometrica (2009)
(http://arxiv.org/abs/0908.1677)

Frank Schweitzer, Giorgio Fagiolo, Didier Sornette. Fernando Vega-Redondo, Douglas R. White, Economic Networks: What do we know and what do we need to know?, 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; The New Challenges, Science 325, 422-424 (2009)

J.B. Satinover and D. Sornette, Anomalous Returns in a Neural Network Equity-Ranking Predictor, Financial Analysts Journal (2008)
(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 (www.wiley.com/go/eqf), Section: History of Quantitative Modeling (1st section out of 21), edited by Perry Mehrling and Murad Taqqu (2008)
(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)
(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)
(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)
(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)
(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)
(http://arXiv.org/abs/cond-mat/0205531)