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