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- Centre National de la Recherche ScientifiqueFR536 papers
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6 papers · 2 filters
Fundamental Framework for Technical Analysis
J. V. Andersen, S. Gluzman, D. Sornette
Starting from the characterization of the past time evolution of market prices in terms of two fundamental indicators, price velocity and price acceleration, we construct a general…
Analysis of the phenomenon of speculative trading in one of its basic manifestations: postage stamp bubbles
Bertrand Roehner, D. Sornette
We document and analyze the empirical facts concerning one of the clearest evidence of speculation in financial trading as observed in the postage collection stamp market. We unrav…
Self-Organized Percolation Model for Stock Market Fluctuations
Dietrich Stauffer, D. Sornette
In the Cont-Bouchaud model [cond-mat/9712318] of stock markets, percolation clusters act as buying or selling investors and their statistics controls that of the price variations.…
Renormalization of earthquake aftershocks
A. Sornette, D. Sornette
Together with the Gutenberg-Richter distribution of earthquake magnitudes, Omori's law is the best established empirical characterization of earthquake sequences and states that th…
"Nonlinear" covariance matrix and portfolio theory for non-Gaussian multivariate distributions
D. Sornette, P. Simonetti, J. V. Andersen
This paper offers a precise analytical characterization of the distribution of returns for a portfolio constituted of assets whose returns are described by an arbitrary joint multi…
Financial ``Anti-Bubbles'': Log-Periodicity in Gold and Nikkei collapses
A. Johansen, D. Sornette
We propose that imitation between traders and their herding behaviour not only lead to speculative bubbles with accelerating over-valuations of financial markets possibly followed…