activity
20132020
most citedThe Extreme Risk of Personal Data Breaches & The Erosion of Privacy

144 citations · 223 across the 9 of their papers we have counts for

collaborators

10 papers

physics.geo-ph2020

Revisiting the predictability of the Haicheng and Tangshan earthquakes

Didier Sornette, Euan Mearns, Spencer Wheatley

We analyse the compiled set of precursory data that were reported to be available in real time before the Ms 7.5 Haicheng earthquake in Feb. 1975 and the Ms 7.6-7.8 Tangshan earthq…

stat.OT2019

Statistical witchhunts: Science, justice & the p-value crisis

Spencer Wheatley, Didier Sornette

We provide accessible insight into the current 'replication crisis' in 'statistical science', by revisiting the old metaphor of 'court trial as hypothesis test'. Inter alia, we def…

stat.AP2019★ 1 cited

Data breaches in the catastrophe framework & beyond

Spencer Wheatley, Annette Hofmann, Didier Sornette

Development of sustainable insurance for cyber risks, with associated benefits, inter alia requires reduction of ambiguity of the risk. Considering cyber risk, and data breaches in…

math.ST2018★ 2 cited

The ARMA Point Process and its Estimation

Spencer Wheatley, Michael Schatz, Didier Sornette

We introduce the ARMA (autoregressive-moving-average) point process, which is a Hawkes process driven by a Neyman-Scott process with Poisson immigration. It contains both the Hawke…

econ.EM2018★ 17 cited

Are Bitcoin Bubbles Predictable? Combining a Generalized Metcalfe's Law and the LPPLS Model

Spencer Wheatley, Didier Sornette, Tobias Huber +2

We develop a strong diagnostic for bubbles and crashes in bitcoin, by analyzing the coincidence (and its absence) of fundamental and technical indicators. Using a generalized Metca…

physics.soc-ph2018★ 59 cited

Classification of cryptocurrency coins and tokens by the dynamics of their market capitalisations

Ke Wu, Spencer Wheatley, Didier Sornette

We empirically verify that the market capitalisations of coins and tokens in the cryptocurrency universe follow power-law distributions with significantly different values, with th…

stat.AP2015★ 144 cited

The Extreme Risk of Personal Data Breaches & The Erosion of Privacy

Spencer Wheatley, Thomas Maillart, Didier Sornette

Personal data breaches from organisations, enabling mass identity fraud, constitute an \emph{extreme risk}. This risk worsens daily as an ever-growing amount of personal data are s…

physics.soc-ph2015

Of Disasters and Dragon Kings: A Statistical Analysis of Nuclear Power Incidents & Accidents

Spencer Wheatley, Benjamin Sovacool, Didier Sornette

We provide, and perform a risk theoretic statistical analysis of, a dataset that is 75 percent larger than the previous best dataset on nuclear incidents and accidents, comparing t…

stat.AP2014

Estimation of the Hawkes Process With Renewal Immigration Using the EM Algorithm

Spencer Wheatley, Vladimir Filimonov, Didier Sornette

We introduce the Hawkes process with renewal immigration and make its statistical estimation possible with two Expectation Maximization (EM) algorithms. The standard Hawkes process…

q-fin.ST2013

Effective Measure of Endogeneity for the Autoregressive Conditional Duration Point Processes via Mapping to the Self-Excited Hawkes Process

Vladimir Filimonov, Spencer Wheatley, Didier Sornette

In order to disentangle the internal dynamics from exogenous factors within the Autoregressive Conditional Duration (ACD) model, we present an effective measure of endogeneity. Ins…