38 citations · 62 across the 3 of their papers we have counts for
5 papers
A simple microstructure return model explaining microstructure noise and Epps effects
A. Saichev, D. Sornette
We present a simple microstructure model of financial returns that combines (i) the well-known ARFIMA process applied to tick-by-tick returns, (ii) the bid-ask bounce effect, (iii)…
Generating Functions and Stability Study of Multivariate Self-Excited Epidemic Processes
A. Saichev, D. Sornette
We present a stability study of the class of multivariate self-excited Hawkes point processes, that can model natural and social systems, including earthquakes, epileptic seizures…
The Lehman Brothers Effect and Bankruptcy Cascades
Paweł Sieczka, Didier Sornette, Janusz A. Hołyst
Inspired by the bankruptcy of Lehman Brothers and its consequences on the global financial system, we develop a simple model in which the Lehman default event is quantified as havi…
Evaluation of the quantitative prediction of a trend reversal on the Japanese stock market in 1999
Anders Johansen, Didier Sornette
In January 1999, the authors published a quantitative prediction that the Nikkei index should recover from its 14 year low in January 1999 and reach a year later. T…
Financial ``Anti-Bubbles'': Log-Periodicity in Gold and Nikkei collapses
A. Johansen, D. Sornette
We propose that imitation between traders and their herding behaviour not only lead to speculative bubbles with accelerating over-valuations of financial markets possibly followed…