221 citations · 4k across the 65 of their papers we have counts for
36 papers
Quantum theory of measurements as quantum decision theory
V. I. Yukalov, D. Sornette
Theory of quantum measurements is often classified as decision theory. An event in decision theory corresponds to the measurement of an observable. This analogy looks clear for ope…
Statistical Outliers and Dragon-Kings as Bose-Condensed Droplets
V. I. Yukalov, D. Sornette
A theory of exceptional extreme events, characterized by their abnormal sizes compared with the rest of the distribution, is presented. Such outliers, called "dragon-kings", have b…
Diagnostics of Rational Expectation Financial Bubbles with Stochastic Mean-Reverting Termination Times
Li Lin, Didier Sornette
We propose two rational expectation models of transient financial bubbles with heterogeneous arbitrageurs and positive feedbacks leading to self-reinforcing transient stochastic fa…
Most Efficient Homogeneous Volatility Estimators
A. Saichev, D. Sornette, V. Filimonov
We present a comprehensive theory of homogeneous volatility (and variance) estimators of arbitrary stochastic processes that fully exploit the OHLC (open, high, low, close) prices.…
Anomalous Returns in a Neural Network Equity-Ranking Predictor
J. B. Satinover, D. Sornette
Using an artificial neural network (ANN), a fixed universe of approximately 1500 equities from the Value Line index are rank-ordered by their predicted price changes over the next…
New Approach to the Characterization of Mmax and of the Tail of the Distribution of Earthquake Magnitudes
V. F. Pisarenko, A. Sornette, D. Sornette +1
We develop a new method for the statistical esitmation of the tail of the distribution of earthquake sizes recorded in the Worldwide Harvard catalog of seismic moments converted to…