144 citations · 223 across the 9 of their papers we have counts for
3 papers · 1 filter
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…