Volatility and return, anomalies and predictions

A. Saichev and D. Sornette, A simple microstructure return model explaining microstructure noise and Epps effects, International Journal of Theoretical and applied Finance (2012)
(http://arxiv.org/abs/1202.3915)

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

V. Filimonov and D. Sornette, Spurious trend switching phenomena in financial markets, Eur. Phys. J. B (submitted 16 Dec 2011)
(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)
(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
(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)
(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)
(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)
(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)
(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)
(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)
(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)
(http://xxx.lanl.gov/abs/cond-mat/9607120)