247 citations · 491 across the 10 of their papers we have counts for
12 papers
Detection of intensity bursts using Hawkes processes: an application to high frequency financial data
Marcello Rambaldi, Vladimir Filimonov, Fabrizio Lillo
Given a stationary point process, an intensity burst is defined as a short time period during which the number of counts is larger than the typical count rate. It might signal a lo…
Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles
Vladimir Filimonov, Guilherme Demos, Didier Sornette
We present a detailed methodological study of the application of the modified profile likelihood method for the calibration of nonlinear financial models characterised by a large n…
Estimation of the Hawkes Process With Renewal Immigration Using the EM Algorithm
Spencer Wheatley, Vladimir Filimonov, Didier Sornette
We introduce the Hawkes process with renewal immigration and make its statistical estimation possible with two Expectation Maximization (EM) algorithms. The standard Hawkes process…
Power law scaling and "Dragon-Kings" in distributions of intraday financial drawdowns
Vladimir Filimonov, Didier Sornette
We investigate the distributions of epsilon-drawdowns and epsilon-drawups of the most liquid futures financial contracts of the world at time scales of 30 seconds. The epsilon-draw…
Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
Vladimir Filimonov, Didier Sornette
We present a careful analysis of possible issues on the application of the self-excited Hawkes process to high-frequency financial data. We carefully analyze a set of effects leadi…
Effective Measure of Endogeneity for the Autoregressive Conditional Duration Point Processes via Mapping to the Self-Excited Hawkes Process
Vladimir Filimonov, Spencer Wheatley, Didier Sornette
In order to disentangle the internal dynamics from exogenous factors within the Autoregressive Conditional Duration (ACD) model, we present an effective measure of endogeneity. Ins…
Quantifying reflexivity in financial markets: towards a prediction of flash crashes
Vladimir Filimonov, Didier Sornette
We introduce a new measure of activity of financial markets that provides a direct access to their level of endogeneity. This measure quantifies how much of price changes are due t…
Spurious trend switching phenomena in financial markets
Vladimir Filimonov, Didier Sornette
The observation of power laws in the time to extrema of volatility, volume and intertrade times, from milliseconds to years, are shown to result straightforwardly from the selectio…
A Stable and Robust Calibration Scheme of the Log-Periodic Power Law Model
Vladimir Filimonov, Didier Sornette
We present a simple transformation of the formulation of the log-periodic power law formula of the Johansen-Ledoit-Sornette model of financial bubbles that reduces it to a function…
Self-Excited Multifractal Dynamics
Vladimir Filimonov, Didier Sornette
We introduce the self-excited multifractal (SEMF) model, defined such that the amplitudes of the increments of the process are expressed as exponentials of a long memory of past in…
Homogeneous Volatility Bridge Estimators
Alexander Saichev, Didier Sornette, Vladimir Filimonov +1
We present a theory of homogeneous volatility bridge estimators for log-price stochastic processes. The main tool of our theory is the parsimonious encoding of the information cont…
Most Efficient Homogeneous Volatility Estimators
A. Saichev, D. Sornette, V. Filimonov
We present a comprehensive theory of homogeneous volatility (and variance) estimators of arbitrary stochastic processes that fully exploit the OHLC (open, high, low, close) prices.…