3 papers
econ.EM2018
Dissection of Bitcoin's Multiscale Bubble History from January 2012 to February 2018
Jan-Christian Gerlach, Guilherme Demos, Didier Sornette
We present a detailed bubble analysis of the Bitcoin to US Dollar price dynamics from January 2012 to February 2018. We introduce a robust automatic peak detection method that clas…
q-fin.ST2017
Lagrange regularisation approach to compare nested data sets and determine objectively financial bubbles' inceptions
Guilherme Demos, Didier Sornette
Inspired by the question of identifying the start time of financial bubbles, we address the calibration of time series in which the inception of the latest regime of interest i…
q-fin.ST2016
Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles
Vladimir Filimonov, Guilherme Demos, Didier Sornette
We present a detailed methodological study of the application of the modified profile likelihood method for the calibration of nonlinear financial models characterised by a large n…