166 citations · 773 across the 24 of their papers we have counts for
12 papers · 1 filter
A Mechanism for Pockets of Predictability in Complex Adaptive Systems
Jorgen Vitting Andersen, Didier Sornette
We document a mechanism operating in complex adaptive systems leading to dynamical pockets of predictability (``prediction days''), in which agents collectively take predetermined…
Response Functions to Critical Shocks in Social Sciences: An Empirical and Numerical Study
M. Roehner, D. Sornette, J. V. Andersen
We show that, provided one focuses on properly selected episodes, one can apply to the social sciences the same observational strategy that has proved successful in natural science…
Could short selling make financial markets tumble?
Jorgen Vitting Andersen
It is suggested to consider long term trends of financial markets as a growth phenomenon. The question that is asked is what conditions are needed for a long term sustainable growt…
Slider-Block Friction Model for Landslides: Application to Vaiont and La Clapiere Landslides
A. Helmstetter, D. Sornette, J. -R. Grasso +3
Accelerating displacements preceding some catastrophic landslides have been found empirically to follow a time-to-failure power law, corresponding to a finite-time singularity of t…
A Nonlinear Super-Exponential Rational Model of Speculative Financial Bubbles
D. Sornette, J. V. Andersen
Keeping a basic tenet of economic theory, rational expectations, we model the nonlinear positive feedback between agents in the stock market as an interplay between nonlinearity an…
Functional Renormalization Prediction of Rupture
S. Gluzman, J. V. Andersen, D. Sornette
We develop theoretical formulas for the prediction of the rupture of systems which are known to exhibit a critical behavior, based solely on the knowledge of the early time evoluti…
Increments of Uncorrelated Time Series Can Be Predicted With a Universal 75% Probability of Success
D. Sornette, J. V. Andersen
We present a simple and general result that the sign of the variations or increments of uncorrelated times series are predictable with a remarkably high success probability of 75%…
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…
Have your cake and eat it too: increasing returns while lowering large risks!
J. V. Andersen, D. Sornette
Based on a faithful representation of the heavy tail multivariate distribution of asset returns introduced previously (Sornette et al., 1998, 1999) that we extend to the case of as…
"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…
Minimizing volatility increases large risks
D. Sornette, J. V. Andersen, P. Simonetti
We introduce a faithful representation of the heavy tail multivariate distribution of asset returns, as parsimonous as the Gaussian framework. Using calculation techniques of funct…
Conditions for abrupt failure in the democratic fiber bundle model
D. Sornette, K. -T. Leung, J. V. Andersen
We argue that the existence of abrupt failure in the democratic fiber bundle model is more general than concluded by da Silveira in his comment (cond-mat/9709327). We refute his cl…