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q-fin.GN2011
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…
q-fin.GN2010★ 5 cited
Diagnosis and Prediction of Tipping Points in Financial Markets: Crashes and Rebounds
Wanfeng Yan, Ryan Woodard, Didier Sornette
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii) the mathematical and stati…