166 citations · 773 across the 24 of their papers we have counts for
Showing 1999Show all
3 papers · 1 filter
cond-mat.stat-mech1999★ 34 cited
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…
cond-mat.stat-mech1999★ 4 cited
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…
cond-mat.stat-mech1999★ 60 cited
"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…