14 citations · 40 across the 5 of their papers we have counts for
4 papers
The inverse Cox-Ingersoll-Ross process for parsimonious financial price modeling
Li Lin, Didier Sornette
We propose a formulation to construct new classes of financial price processes based on the insight that the key variable driving prices is the earning-over-price ratio $γ\sime…
A Consistent Model of `Explosive' Financial Bubbles With Mean-Reversing Residuals
L. Lin, Ren R. E, D. Sornette
We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process and a stochastic conditional return which reflects nonlinear…
Bubble, Critical Zone and the Crash of Royal Ahold
G. Broekstra, D. Sornette, W. -X. Zhou
Our analysis of financial data, in terms of super-exponential growth, suggests that the seed of the 2002/03 crisis of the Dutch supermarket giant AHOLD was planted in 1996. It beca…
"Slimming" of power law tails by increasing market returns
D. Sornette
We introduce a simple generalization of rational bubble models which removes the fundamental problem discovered by [Lux and Sornette, 1999] that the distribution of returns is a po…