1.3k citations · 14.5k across the 144 of their papers we have counts for
15 papers · 1 filter
Probing Human Response Times
Anders Johansen
In a recent preprint \cite{eck}, the temporal dynamics of an e-mail network has been investigated by J.P. Eckmann, E. Moses and D. Sergi. Specifically, the time period between an e…
Comment on recent claims by Sornette and Zhou
Anders Johansen
Comment on recent claims by Sornette and Zhou: D. Sornette and W. Zhou, Quantitative Finance 2 (6), 468-481 (2002); Evidence of a Worldwide Stock Market Log-Periodic Anti-Bubble Si…
Characterization of large price variations in financial markets
Anders Johansen
Statistics of drawdowns (loss from the last local maximum to the next local minimum) plays an important role in risk assessment of investment strategies. As they incorporate higher…
Remarks on reply to Johansen's comment
Anders Johansen
Remarks on reply (cond-mat/0206368) to Johansen's comment (cond-mat/0205249)
Comment on "Are financial crashes predictable?"
Anders Johansen
Comment on "Are financial crashes predictable?", L. Laloux, M. Potters, R. Cont, J.P Aguilar and J.-P. Bouchaud, Europhys. Lett. 45, 1-5 (1999)
Large Stock Market Price Drawdowns Are Outliers
Anders Johansen, Didier Sornette
Drawdowns are essential aspects of risk assessment in investment management. They offer a more natural measure of real market risks than the variance or other cumulants of daily (o…