218 citations · 831 across the 9 of their papers we have counts for
8 papers
Fearless versus Fearful Speculative Financial Bubbles
J. V. Andersen, D Sornette
Using a recently introduced rational expectation model of bubbles, based on the interplay between stochasticity and positive feedbacks of prices on returns and volatility, we devel…
The $-game
Jorgen Vitting Andersen, Didier Sornette
We propose a payoff function extending Minority Games (MG) that captures the competition between agents to make money. In constrast with previous MG, the best strategies are not al…
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…
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%…
Persistence and Quiescence of Seismicity on Fault Systems
M. W. Lee, D. Sornette, L. Knopoff
We study the statistics of simulated earthquakes in a quasistatic model of two parallel heterogeneous faults within a slowly driven elastic tectonic plate. The probability that one…
Scaling with respect to disorder in time-to-failure
D. Sornette, J. V. Andersen
We revisit a simple dynamical model of rupture in random media with long-range elasticity to test whether rupture can be seen as a first-order or a critical transition. We find a c…
Extreme deviations and applications
U. Frisch, D. Sornette
Stretched exponential probability density functions (pdf), having the form of the exponential of minus a fractional power of the argument, are commonly found in turbulence and othe…
Tri-critical behavior in rupture induced by disorder
J. V. Andersen, D. Sornette, K. -T. Leung
We discover a qualitatively new behavior for systems where the load transfer has limiting stress amplification as in real fiber composites. We find that the disorder is a relevant…