173 citations · 942 across the 29 of their papers we have counts for
30 papers
Statistics of seismic cluster durations
A. Saichev, D. Sornette
Using the standard ETAS model of triggered seismicity, we present a rigorous theoretical analysis of the main statistical properties of temporal clusters, defined as the group of e…
Super-linear scaling of offsprings at criticality in branching processes
A. Saichev, D. Sornette
For any branching process, we demonstrate that the typical total number of events triggered over all generations within any sufficiently large time window exhi…
Fertility Heterogeneity as a Mechanism for Power Law Distributions of Recurrence Times
A. Saichev, D. Sornette
We study the statistical properties of recurrence times in the self-excited Hawkes conditional Poisson process, the simplest extension of the Poisson process that takes into accoun…
Comparative statistics of Garman-Klass, Parkinson, Roger-Satchell and bridge estimators
Alexander Saichev, Svetlana Lapinova
Comparative statistical properties of Parkinson, Garman-Klass, Roger-Satchell and bridge oscillation estimators are discussed. Point and interval estimations, related with mentione…
A simple microstructure return model explaining microstructure noise and Epps effects
A. Saichev, D. Sornette
We present a simple microstructure model of financial returns that combines (i) the well-known ARFIMA process applied to tick-by-tick returns, (ii) the bid-ask bounce effect, (iii)…
Super-exponential endogenous bubbles in an equilibrium model of rational and noise traders
T. Kaizoji, M. Leiss, A. Saichev +1
We introduce a model of super-exponential financial bubbles with two assets (risky and risk-free), in which rational investors and noise traders co-exist. Rational investors form e…