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- Centre National de la Recherche ScientifiqueFR536 papers
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7 papers · 2 filters
Economic returns of research: the Pareto law and its implications
Didier Sornette, Daniel Zajdenweber
At what level should government or companies support research? This complex multi-faceted question encompasses such qualitative bonus as satisfying natural human curiosity, the que…
Gauge theory of Finance?
D. Sornette
Some problems with the recent stimulating proposal of a ``Gauge Theory of Finance'' by Ilinski and collaborators are outlined. First, the derivation of the log-normal distribution…
Evidence of discrete scale invariance in DLA and time-to-failure by canonical averaging
A. Johansen, D. Sornette
Discrete scale invariance, which corresponds to a partial breaking of the scaling symmetry, is reflected in the existence of a hierarchy of characteristic scales l0, c l0, c^2 l0,.…
The sharp peak-flat trough pattern and critical speculation
B. M. Roehner, D. Sornette
We find empirically a characteristic sharp peak-flat trough pattern in a large set of commodity prices. We argue that the sharp peak structure reflects an endogenous inter-market o…
``String'' formulation of the Dynamics of the Forward Interest Rate Curve
D. Sornette
We propose a formulation of the term structure of interest rates in which the forward curve is seen as the deformation of a string. We derive the general condition that the partial…
Large deviations and portfolio optimization
Didier Sornette
Risk control and optimal diversification constitute a major focus in the finance and insurance industries as well as, more or less consciously, in our everyday life. We present a d…