2 papers
econ.EM2020
Awareness of crash risk improves Kelly strategies in simulated financial time series
Jan-Christian Gerlach, Jerome Kreuser, Didier Sornette
We simulate a simplified version of the price process including bubbles and crashes proposed in Kreuser and Sornette (2018). The price process is defined as a geometric random walk…
econ.EM2018
Dissection of Bitcoin's Multiscale Bubble History from January 2012 to February 2018
Jan-Christian Gerlach, Guilherme Demos, Didier Sornette
We present a detailed bubble analysis of the Bitcoin to US Dollar price dynamics from January 2012 to February 2018. We introduce a robust automatic peak detection method that clas…