240 citations · 299 across the 8 of their papers we have counts for
8 papers
Super-exponential endogenous bubbles in an equilibrium model of rational and noise traders
T. Kaizoji, M. Leiss, A. Saichev +1
We introduce a model of super-exponential financial bubbles with two assets (risky and risk-free), in which rational investors and noise traders co-exist. Rational investors form e…
Role of Diversification Risk in Financial Bubbles
Wanfeng Yan, Ryan Woodard, Didier Sornette
We present an extension of the Johansen-Ledoit-Sornette (JLS) model to include an additional pricing factor called the "Zipf factor", which describes the diversification risk of th…
Modeling symbiosis by interactions through species carrying capacities
V. I. Yukalov, E. P. Yukalova, D. Sornette
We introduce a mathematical model of symbiosis between different species by taking into account the influence of each species on the carrying capacities of the others. The modeled…
Different goals in multiscale simulations and how to reach them
Pierrick Tranouez, Antoine Dutot
In this paper we sum up our works on multiscale programs, mainly simulations. We first start with describing what multiscaling is about, how it helps perceiving signal from a backg…
Interdisciplinarity in Socio-economics, mathematical analysis and predictability of complex systems
D. Sornette
In this essay, I attempt to provide supporting evidence as well as some balance for the thesis on `Transforming socio-economics with a new epistemology' presented by Hollingworth a…
A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes
Y. Malevergne, D. Sornette
In the standard equilibrium and/or arbitrage pricing framework, the value of any asset is uniquely specified from the belief that only the systematic risks need to be remunerated b…