Entanglement production in quantum decision making (2010)
The quantum decision theory introduced recently is formulated as a quantum theory of measurement. It describes prospect states represented by complex vectors of a Hilbert space over a prospect...
Wiesinger, J., Sornette, D., Satinover, J.
Using virtual stock markets with artificial interacting software investors, aka agent-based models (ABMs), we present a method to reverse engineer real-world financial time series. We model financial...
In a recent Forum in EOS entitled "Lies, damned lies and statistics (in Geology)", Vermeesch (2009) claims that "statistical significant is not the same as geological significant", in other words,...
Scheme of thinking quantum systems (2009)
A general approach describing quantum decision procedures is developed. The approach can be applied to quantum information processing, quantum computing, creation of artificial quantum intelligence,...
Malevergne, Y., Pisarenko, V., Sornette, D.
We address the general problem of testing a power law distribution versus a log-normal distribution in statistical data. This general problem is illustrated on the distribution of the 2000 US census...
Empirical analysis show that, after the update of a browser, the publication of the vulnerability of a software, or the discovery of a cyber worm, the fraction of computers still using the older...
Pisarenko, V. F., Sornette, D., Rodkin, M. V.
We modify the new method for the statistical estimation of the tail distribution of earthquake seismic moments introduced by Pisarenko et al. [2009] and apply it to the earthquake catalog of Japan...
Most Efficient Homogeneous Volatility Estimators (2009)
Saichev, A., Sornette, D., Filimonov, V.
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. For this, we...
Werner, M. J., Ide, K., Sornette, D.
In meteorology, engineering and computer sciences, data assimilation is routinely employed as the optimal way to combine noisy observations with prior model information for obtaining better estimates...
Stable States of Biological Organisms (2009)
Yukalov, V. I., Sornette, D., Yukalova, E. P., Cobb, J. P.
A novel model of biological organisms is advanced, treating an organism as a self-consistent system subject to a pathogen flux. The principal novelty of the model is that it describes not some parts,...
The Chinese Equity Bubble: Ready to Burst (2009)
Bastiaensen, K., Cauwels, P., Sornette, D., Woodard, R.
Amid the current financial crisis, there has been one equity index beating all others: the Shanghai Composite. Our analysis of this main Chinese equity index shows clear signatures of a bubble build...
Icequakes as precursors of ice avalanches (2009)
Faillettaz, J., Funk, M., Sornette, D.
A hanging glacier at the east face of Weisshorn broke off in 2005. We were able to monitor and measure surface motion and icequake activity for 21 days up to three days prior to the break-off....
A Consistent Model of `Explosive' Financial Bubbles With Mean-Reversing Residuals (2009)
Lin, L., E, Ren R., Sornette, D.
We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process and a stochastic conditional return which reflects nonlinear positive feedbacks...
In a number of natural and social systems, the response to an exogenous shock relaxes back to the average level according to a long-memory kernel $\sim 1/t^{1+\theta}$ with $0 \leq \theta 1$ and we...
Quantum decision theory as quantum theory of measurement (2009)
We present a general theory of quantum information processing devices, that can be applied to human decision makers, to atomic multimode registers, or to molecular high-spin registers. Our quantum...
Many time series in natural and social sciences can be seen as resulting from an interplay between exogenous influences and an endogenous organization. We use a simple (ETAS) model of events...
Punctuated evolution due to delayed carrying capacity (2009)
Yukalov, V. I., Yukalova, E. P., Sornette, D.
A new delay equation is introduced to describe the punctuated evolution of complex nonlinear systems. A detailed analytical and numerical investigation provides the classification of all possible...
Physics of risk and uncertainty in quantum decision making (2008)
The Quantum Decision Theory, developed recently by the authors, is applied to clarify the role of risk and uncertainty in decision making and in particular in relation to the phenomenon of dynamic...
Market bubbles and crashes (2008)
Episodes of market crashes have fascinated economists for centuries. Although many academics, practitioners and policy makers have studied questions related to collapsing asset price bubbles, there...
Trust! Why it Has Been Lost and How to Regain It (2008)
This essay suggests that a proper assessment of the presently unfolding financial crisis, and its cure, requires going back at least to the late 1990s, accounting for the cumulative effect of the...
Saichev, A., Malevergne, Y., Sornette, D.
We summarize a book under publication with his title written by the three present authors, on the theory of Zipf's law, and more generally of power laws, driven by the mechanism of proportional...
Mathematical basis of quantum decision theory (2008)
Following the ideas of Bohr, Von Neumann, and Benioff, we formulate quantum decision theory (QDT) as the quantum-mechanical theory of measurement for probability operators. QDT captures the effect of...
In this essay, I attempt to provide supporting evidence as well as some balance for the thesis on `Transforming socio-economics with a new epistemology' presented by Hollingworth and Mueller (2008)....
Empirical Tests of Zipf's law Mechanism In Open Source Linux Distribution (2008)
Maillart, T., Sornette, D., Spaeth, S., Von Krogh, G.
The evolution of open source software projects in Linux distributions offers a remarkable example of a growing complex self-organizing adaptive system, exhibiting Zipf's law over four full decades....
We present a simple agent-based model to study how the proximate triggering factor of a crash or a rally might relate to its fundamental mechanism, and vice versa. Our agents form opinions and...
Anomalous Returns in a Neural Network Equity-Ranking Predictor (2008)
Satinover, J. B., Sornette, D.
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 quarter. Inputs to...
The 2006-2008 Oil Bubble and Beyond (2008)
We present an analysis of oil prices in US$ and in other major currencies that diagnoses unsustainable faster-than-exponential behavior. This supports the hypothesis that the recent oil price run-up...
Pisarenko, V. F., Sornette, A., Sornette, D., Rodkin, M. V.
We present a generic and powerful approach to study the statistics of extreme phenomena (meteorology, finance, biology...) that we apply to the statistical estimation of the tail of the distribution...
Cycles, determinism and persistence in agent-based games and financial time-series (2008)
Satinover, J. B., Sornette, D.
The Minority Game (MG), the Majority Game (MAJG) and the Dollar Game ($G) are important and closely-related versions of market-entry games designed to model different features of real-world financial...
Statistical Physics Approaches to Seismicity (2008)
This entry in the Encyclopedia of Complexity and Systems Science, Springer present a summary of some of the concepts and calculational tools that have been developed in attempts to apply statistical...
Robust dynamic classes revealed by measuring the response function of a social system (2008)
We study the relaxation response of a social system after endogenous and exogenous bursts of activity using the time-series of daily views for nearly 5 million videos on YouTube. We find that most...
Heavy-Tailed Distribution of Cyber-Risks (2008)
With the development of the Internet, new kinds of massive epidemics, distributed attacks, virtual conflicts and criminality have emerged. We present a study of some striking statistical properties...
Illusory versus Genuine Control in Agent-Based Games (2008)
Satinover, J. B., Sornette, D.
In the Minority, Majority and Dollar Games (MG, MAJG, $G), synthetic agents compete for rewards, at each time-step acting in accord with the previously best-performing of their limited sets of...
Processing Information in Quantum Decision Theory (2008)
A survey is given summarizing the state of the art of describing information processing in Quantum Decision Theory, which has been recently advanced as a novel variant of decision making, based on...
Econophysics: historical perspectives (2008)
Econophysics embodies the recent upsurge of interest by physicists into financial economics, driven by the availability of large amount of data, job shortage in physics and the possibility of...
Nonlinear theory and tests of earthquake recurrence times (2007)
Sornette, D., Utkin, S., Saichev, A.
We develop an efficient numerical scheme to solve accurately the set of nonlinear integral equations derived previously in (Saichev and Sornette, 2007), which describes the distribution of...
Creep failures in heterogeneous materials (2007)
Nechad, H., Helmstetter, A., Guerjouma, R., Sornette, D.
We present creep experiments on fiber composite materials with controlled heterogeneity. Recorded strain rates and acoustic emission rates exhibit a power law relaxation in the primary creep regime...
Andrade and Critical Time-to-Failure Laws in Fiber-Matrix Composites: Experiments and Model (2007)
Nechad, H., Helmstetter, A., Guerjouma, R., Sornette, D.
We present creep experiments on fiber composite materials. Recorded strain rates and acoustic emission (AE) rates exhibit both a power law relaxation in the primary creep regime and a power-law...
Creep failures in heterogeneous materials (2007)
Nechad, H., Helmstetter, A., Guerjouma, R., Sornette, D.
We present creep experiments on fiber composite materials with controlled heterogeneity. Recorded strain rates and acoustic emission rates exhibit a power law relaxation in the primary creep regime...
Andrade and Critical Time-to-Failure Laws in Fiber-Matrix Composites: Experiments and Model (2007)
Nechad, H., Helmstetter, A., Guerjouma, R., Sornette, D.
We present creep experiments on fiber composite materials. Recorded strain rates and acoustic emission (AE) rates exhibit both a power law relaxation in the primary creep regime and a power-law...
Predictability in the ETAS Model of Interacting Triggered Seismicity (2007)
As part of an effort to develop a systematic methodology for earthquake forecasting, we use a simple model of seismicity based on interacting events which may trigger a cascade of earthquakes, known...
Importance of direct and indirect triggered seismicity in the ETAS model of seismicity (2007)
Using the simple ETAS branching model of seismicity, which assumes that each earthquake can trigger other earthquakes, we quantify the role played by the cascade of triggered seismicity in...
Predictability in the ETAS Model of Interacting Triggered Seismicity (2007)
As part of an effort to develop a systematic methodology for earthquake forecasting, we use a simple model of seismicity based on interacting events which may trigger a cascade of earthquakes, known...
Importance of direct and indirect triggered seismicity in the ETAS model of seismicity (2007)
Using the simple ETAS branching model of seismicity, which assumes that each earthquake can trigger other earthquakes, we quantify the role played by the cascade of triggered seismicity in...
J. P. Bouchaud, D. Sornette, C. Walter, J. P. Aguilar
We propose a method of optimization of asset allocation in the case where the stock price variations are supposed to have "fat " tails represented by power laws. Generalizing over...
THE EUROPEAN PHYSICAL JOURNAL B c○ EDP Sciences (2007)
Abstract. We propose that the minimal requirements for a model of stock market price fluctuations should comprise time asymmetry, robustness with respect to connectivity between agents, “bounded...
of log-periodicity in a speculative bubble ending in a crash (2007)
10 % on Friday the 14’th of April 2000 signaling the end of a remarkable speculative high-tech bubble starting in spring 1997. The closing of the Nasdaq Composite at 3321 corresponds to a total...
THE EUROPEAN PHYSICAL JOURNAL B c○ EDP Sciences (2007)
Abstract. The fracture of materials is a catastrophic phenomenon of considerable technological and scientific importance. Here, we analysed experiments designed for industrial applications in order...
New Evidence of Earthquake Precursory Phenomena in the 17 Jan. 1995 Kobe Earthquake, Japan (2007)
A. Johansen, H. Saleur, D. Sornette
Signicant advances, both in the theoretical understanding of rupture processes in heterogeneous media and in the methodology for characterizing critical behavior, allows us to reanalyze the evidence...
Mechanisms for Log-Periodicity in Under-Sampled Data: Relevance for Earthquake Aftershocks (2007)
Y. Huang, A. Johansen, M. W. Lee, H. Saleur, D. Sornette
The concept of scale invariance plays an increasingly important role in the Geosciences. The recently proposed discrete scale invariance and its associated log-periodicity is an elaboration in which...
ts theoretical value. In practice, competing time scales are important and actors with heterogeneous investing strategies produce positive and negative feedbacks. This means that the resulting price...
Eur. Phys. J. B 15, 551--555 (2000) (2007)
The European Physical, A. Johansen, H. Saleur, D. Sornette
Significant advances, both in the theoretical understanding of rupture processes in heterogeneous media and in the methodology for characterizing critical behavior, allows us to reanalyze the...
Relevance for earthquake aftershocks (2007)
Y. Huang, A. Johansen, M. W. Lee, H. Saleur, D. Sornette
Abstract. The recently proposed discrete scale invariance and its associated log-periodicity are an elaboration of the concept of scale invariance in which the system is scale invariant only under...
Abstract. We call attention against what seems to be a widely held misconception according to which large crashes are the largest events of distributions of price variations with fat tails. We...
The Collaboratory for the Study of Earthquake Predictability (CSEP) aims to prospectively test time-dependent earthquake probability forecasts on their consistency with observations. To compete,...
Endogenous versus Exogenous Origins of Diseases (2007)
Sornette, D., Yukalov, V. I., Yukalova, E. P., Schwab, D., Cobb, J. P.
Many illnesses are associated with an alteration of the immune system homeostasis due to any combination of factors, including exogenous bacterial insult, endogenous breakdown (e.g., development of a...
Probability Distributions in Complex Systems (2007)
We review briefly the concepts underlying complex systems and probability distributions. The later are often taken as the first quantitative characteristics of complex systems, allowing one to detect...
Ouillon, G.; Lithophyse, Nice, France, Sornette, D.; Department Of Management, Technology And Economics Swiss Federal Institute Of Technology, Zurich, Switzerland
Multifractal Omori-Utsu Law for Earthquake Triggering-Theory and Empirical Tests on the SCEC, Harvard and JMA Catalogs
Uncertainties in Seismicity Models: Towards Bayesian Earthquake Forecasting (2007)
Werner, M. J.; University Of California, CA, USA, Ide, K., Sornette, D.; Swiss Federal Institute Of Technology, Zurich, Switzerland
Uncertainties in Seismicity Models: Towards Bayesian Earthquake Forecasting
“Universal” Distribution of Inter-Earthquake Times Explained (2007)
Saichev, A.; Mathematical Department Nizhny Novgorod State University, Novgorod, Russia, Sornette, D.; University Of California, Los Angeles, CA, USA
“Universal” Distribution of Inter-Earthquake Times Explained
Ouillon, G.; Lithophyse, Nice, France, Sornette, D.; Department Of Management, Technology And Economics Swiss Federal Institute Of Technology, Zurich, Switzerland
Multifractal Omori-Utsu Law for Earthquake Triggering-Theory and Empirical Tests on the SCEC, Harvard and JMA Catalogs
Uncertainties in Seismicity Models: Towards Bayesian Earthquake Forecasting (2007)
Werner, M. J.; University Of California, CA, USA, Ide, K., Sornette, D.; Swiss Federal Institute Of Technology, Zurich, Switzerland
Uncertainties in Seismicity Models: Towards Bayesian Earthquake Forecasting
“Universal” Distribution of Inter-Earthquake Times Explained (2007)
Saichev, A.; Mathematical Department Nizhny Novgorod State University, Novgorod, Russia, Sornette, D.; University Of California, Los Angeles, CA, USA
“Universal” Distribution of Inter-Earthquake Times Explained
"Illusion of control" in Minority and Parrondo Games (2007)
Satinover, J. B., Sornette, D.
Human beings like to believe they are in control of their destiny. This ubiquitous trait seems to increase motivation and persistence, and is probably evolutionarily adaptive. But how good really is...
Properties of a simple bilinear stochastic model: estimation and predictability (2007)
Sornette, D., Pisarenko, V. F.
We analyze the properties of arguably the simplest bilinear stochastic multiplicative process, proposed as a model of financial returns and of other complex systems combining both nonlinearity and...
Illusion of Control in a Brownian Game (2007)
Satinover, J. B., Sornette, D.
Both single-player Parrondo games (SPPG) and multi-player Parrondo games (MPPG) display the Parrondo Effect (PE) wherein two or more individually fair (or Llosing) games yield a net winning outcome...
Towards Landslide Predictions: Two Case Studies (2007)
Sornette, D., Helmstetter, A., Andersen, J. V., Gluzman, S., Pisarenko, V.
In a previous work [Helmstetter, 2003], we have proposed a simple physical model to explain the accelerating displacements preceding some catastrophic landslides, based on a slider-block model with a...
Pisarenko, V. F., Sornette, A., Sornette, D., Rodkin, M. V.
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 mW-magnitudes...
A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes (2007)
In the standard equilibrium and/or arbitrage pricing framework, the value of any asset is uniquely specified from the belief that only the systematic risks need to be remunerated by the market. Here,...
Arnéodo, A., Cont, R., Potters, M., Sornette, D.
Recently, Ghashghaie et al. have shown that some statistical aspects of fully developed turbulence and exchange rate fluctuations exhibit striking similarities (Nature 381, 767 (1996)). The authors...
Nonlinear Dynamical Model of Regime Switching Between Conventions and Business Cycles (2007)
Yukalov, V. I., Sornette, D., Yukalova, E. P.
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and...
Response Functions to Critical Shocks in Social Sciences: An Empirical and Numerical Study (2006)
Roehner, B., Sornette, D., Andersen, J. V.
We show that, provided one focuses on properly selected episodes, one can apply to the social sciences the same observational strategy that has proved successful in natural sciences such as...
Significance of log-periodic precursors to financial crashes (2006)
We clarify the status of log-periodicity associated with speculative bubbles preceding financial crashes. In particular, we address Feigenbaum's [2001] criticism and show how it can be rebuked....
From Rational Bubbles to Crashes (2006)
We study and generalize in various ways the model of rational expectation (RE) bubbles introduced by Blanchard and Watson in the economic literature. First, bubbles are argued to be the equivalent of...
Fokker-Planck equation of distributions of financial returns and power laws (2006)
Our purpose is to relate the Fokker-Planck formalism proposed by [Friedrich et al., Phys. Rev. Lett. 84, 5224 (2000)] for the distribution of stock market returns to the empirically well-established...
Volatility fingerprints of large shocks: Endogeneous versus exogeneous (2006)
Sornette, D., Malevergne, Y., Muzy, J. F.
Finance is about how the continuous stream of news gets incorporated into prices. But not all news have the same impact. Can one distinguish the effects of the Sept. 11, 2001 attack or of the coup...
We propose that catastrophic events are "outliers" with statistically different properties than the rest of the population and result from mechanisms involving amplifying critical cascades....
The Kalman filter combines forecasts and new observations to obtain an estimation which is optimal in the sense of a minimum average quadratic error. The Kalman filter has two main restrictions: (i)...
Positive Feedback, Memory and the Predictability of Earthquakes (2006)
We review the "critical point" concept for large earthquakes and enlarge it in the framework of so-called "finite-time singularities". The singular behavior associated with accelerated seismic...
Strong reciprocity is a fundamental human characteristic associated with our extraordinary sociality and cooperation. Laboratory experiments on social dilemma games and many field studies have...
Ouillon, G., Ribeiro, E., Sornette, D.
The Multifractal Stress-Activated (MSA) model is a statistical model of triggered seismicity based on mechanical and thermodynamic principles. It predicts that, above a triggering magnitude cut-off...
Self-Consistent Asset Pricing Models (2006)
We discuss the foundations of factor or regression models in the light of the self-consistency condition that the market portfolio (and more generally the risk factors) is (are) constituted of the...
By analyzing a southern California earthquake catalog, Davidsen and Paczuski [Phys. Rev. Lett. 94, 048501 (2005)] claim to have found evidence contradicting the theory of aftershock zone scaling in...
Theory of Earthquake Recurrence Times (2006)
The statistics of recurrence times in broad areas have been reported to obey universal scaling laws, both for single homogeneous regions (Corral, 2003) and when averaged over multiple regions (Bak et...
The epidemic-type aftershock sequence model (ETAS) is a simple stochastic process modeling seismicity, based on the two best-established empirical laws, the Omori law (power law decay ~1/t^{1+\theta}...
We present a new kind of critical stochastic finite-time-singularity, relying on the interplay between long-memory and extreme fluctuations. We illustrate it on the well-established epidemic-type...
Sub-critical and Super-critical Regimes in Epidemic Models of Earthquake Aftershocks (2006)
We present an analytical solution and numerical tests of the epidemic-type aftershock (ETAS) model for aftershocks, which describes foreshocks, aftershocks and mainshocks on the same footing. The...
"Universal" Distribution of Inter-Earthquake Times Explained (2006)
We propose a simple theory for the ``universal'' scaling law previously reported for the distributions of waiting times between earthquakes. It is based on a largely used benchmark model of...
Electro-Magnetic Earthquake Bursts and Critical Rupture of Peroxy Bond Networks in Rocks (2006)
We propose a mechanism for the low frequency electromagnetic emissions and other electromagnetic phenomena which have been associated with earthquakes. The mechanism combines the critical earthquake...
Generic Multifractality in Exponentials of Long Memory Processes (2006)
We find that multifractal scaling is a robust property of a large class of continuous stochastic processes, constructed as exponentials of long-memory processes. The long memory is characterized by a...
Algorithm for Model Validation: Theory and Applications (2005)
Sornette, D., Davis, A. B., Ide, K., Vixie, K. R., Pisarenko, V., Kamm, J. R.
Validation is often defined as the process of determining the degree to which a model is an accurate representation of the real world from the perspective of its intended uses. Validation is crucial...
Optimal Prediction of Time-to-Failure from Information Revealed by Damage (2005)
We present a general prediction scheme of failure times based on updating continuously with time the probability for failure of the global system, conditioned on the information revealed on the...
The Donation-Payment Gift Card Concept: how to give twice with one card (2005)
Crane, R., Escobar-Sotomayor, J. V., Sornette, D.
Standard economic theory, starting with Adam Smith's invisible hand, holds that those who trade for their own selfish motives of maximizing their private preferences may contribute more to the public...
Celebrating the Physics in Geophysics (2005)
Davis, Anthony B., Sornette, D.
As 2005, the International Year of Physics, comes to an end, two physicists working primarily in geophysical research reflect on how geophysics is not an applied physics. Although geophysics has...
Slider-Block Friction Model for Landslides: Application to Vaiont and La Clapiere Landslides (2005)
Helmstetter, A., Sornette, D., Andersen, J. V., Gluzman, S., Pisarenko, V.
Accelerating displacements preceding some catastrophic landslides have been found empirically to follow a time-to-failure power law, corresponding to a finite-time singularity of the velocity $v...
Fearless versus Fearful Speculative Financial Bubbles (2005)
Using a recently introduced rational expectation model of bubbles, based on the interplay between stochasticity and positive feedbacks of prices on returns and volatility, we develop a new...
We formulate the problem of probabilistic predictions of global failure in the simplest possible model based on site percolation and on one of the simplest model of time-dependent rupture, a...
[1] The physics of earthquake triggering together with simple assumptions of self-similarity imply the existence of a minimum magnitude m(0) below which earthquakes do not trigger other earthquakes....
Several recent works point out that the crowd of small unobservable earthquakes (with magnitudes below the detection threshold $m_d$) may play a significant and perhaps dominant role in triggering...
Vere-Jones' Self-Similar Branching Model (2005)
Motivated by its potential application to earthquake statistics, we study the exactly self-similar branching process introduced recently by Vere-Jones, which extends the ETAS class of conditional...
Multifractality of Inverse Statistics of Exit Distances in 3D Fully Developed Turbulence (2005)
The inverse structure functions of exit distances have been introduced as a novel diagnostic of turbulence which emphasizes the more laminar regions [1-4]. Using Taylor's frozen field hypothesis, we...
Discrete hierarchical organization of social group sizes. (2005)
Zhou, W. X., Sornette, D., Hill, R. A., Dunbar, R. I. M.
The ‘social brain hypothesis’ for the evolution of large brains in primates has led to evidence for the coevolution of neocortical size and social group sizes, suggesting that there is a...
Using the ETAS branching model of triggered seismicity, we apply the formalism of generating probability functions to calculate exactly the average difference between the magnitude of a mainshock and...
Apparent Clustering and Apparent Background Earthquakes Biased by Undetected Seismicity (2005)
In models of triggered seismicity and in their inversion with empirical data, the detection threshold m_d is commonly equated to the magnitude m_0 of the smallest triggering earthquake. This...
Saichev, A., Helmstetter, A., Sornette, D.
We consider a general stochastic branching process, which is relevant to earthquakes as well as to many other systems, and we study the distributions of the total number of offsprings (direct and...
Saichev, A., Helmstetter, A., Sornette, D.
We consider a general stochastic branching process, which is relevant to earthquakes as well as to many other systems, and we study the distributions of the total number of offsprings (direct and...
Saichev, A., Helmstetter, A., Sornette, D.
We consider a general stochastic branching process, which is relevant to earthquakes as well as to many other systems, and we study the distributions of the total number of offsprings (direct and...
Saichev, A., Helmstetter, A., Sornette, D.
We consider a general stochastic branching process, which is relevant to earthquakes as well as to many other systems, and we study the distributions of the total number of offsprings (direct and...
Saichev, A., Helmstetter, A., Sornette, D.
We consider a general stochastic branching process, which is relevant to earthquakes as well as to many other systems, and we study the distributions of the total number of offsprings (direct and...
The Dynamics of Book Sales: Endogenous versus Exogenous Shocks in Complex Networks (2004)
We present an extensive study of the foreshock and aftershock signatures accompanying peaks of book sales. The time series of book sales are derived from the ranking system of Amazon.com. We present...
Power Law Distributions of Seismic Rates (2004)
We report an empirical determination of the probability density functions $P_{\text{data}}(r)$ of the number $r$ of earthquakes in finite space-time windows for the California catalog. We find a...
Power law distribution of seismic rates: theory and data (2004)
We report an empirical determination of the probability density functions P(r) of the number r of earthquakes in finite space-time windows for the California catalog, over fixed spatial boxes 5 x 5...
Endogenous versus Exogenous Origins of Crises (2004)
Are large biological extinctions such as the Cretaceous/Tertiary KT boundary due to a meteorite, extreme volcanic activity or self-organized critical extinction cascades? Are commercial successes due...
The physics of earthquake triggering together with simple assumptions of self-similarity impose the existence of a minimum magnitude m0 below which earthquakes do not trigger other earthquakes....
Statistical Physics of Rupture in Heterogeneous Media (2004)
The damage and fracture of materials are technologically of enormous interest due to their economic and human cost. They cover a wide range of phenomena like e.g. cracking of glass, aging of...
Numerical investigations of discrete scale invariance in fractals and multifractal measures (2004)
Fractals and multifractals and their associated scaling laws provide a quantification of the complexity of a variety of scale invariant complex systems. Here, we focus on lattice multifractals which...
We introduce a novel non-parametric methodology to test for the dynamical time evolution of the lag-lead structure between two arbitrary time series. The method consists in constructing a distance...
Multifractal Scaling of Thermally-Activated Rupture Processes (2004)
We propose a ``multifractal stress activation'' model combining thermally activated rupture and long memory stress relaxation, which predicts that seismic decay rates after mainshocks follow the...
Magnitude-Dependent Omori Law: Empirical Study and Theory (2004)
We propose a new physically-based ``multifractal stress activation'' model of earthquake interaction and triggering based on two simple ingredients: (i) a seismic rupture results from activated...
Creep failures in heterogeneous materials (2004)
Nechad, H., Helmstetter, A., Guerjouma, R. El, Sornette, D.
We present creep experiments on fiber composite materials with controlled heterogeneity. Recorded strain rates and acoustic emission rates exhibit a power law relaxation in the primary creep regime...
We consider a branching model of triggered seismicity, the ETAS (epidemic-type aftershock sequence) model which assumes that each earthquake can trigger other earthquakes (``aftershocks''). An...
Andrade and Critical Time-to-Failure Laws in Fiber-Matrix Composites: Experiments and Model (2004)
Nechad, H., Helmstetter, A., Guerjouma, R. El, Sornette, D.
We present creep experiments on fiber composite materials. Recorded strain rates and acoustic emission (AE) rates exhibit both a power law relaxation in the primary creep regime and a power-law...
Bubble, Critical Zone and the Crash of Royal Ahold (2004)
Our analysis of financial data, in terms of super-exponential growth, suggests that the seed of the 2002/03 crisis of the Dutch supermarket giant AHOLD was planted in 1996. It became quite visible in...
New statistic for financial return distributions: power-law or exponential? (2004)
Pisarenko, V. F., Sornette, D.
We introduce a new statistical tool (the TP-statistic and TE-statistic) designed specifically to compare the behavior of the sample tail of distributions with power-law and exponential tails as a...
Discrete Hierarchical Organization of Social Group Sizes (2004)
Sornette, D., Hill, R. A., Dunbar, R. I. M.
The ``social brain hypothesis'' for the evolution of large brains in primates has led to evidence for the coevolution of neocortical size and social group sizes. Extrapolation of these findings to...
Response Functions to Critical Shocks in Social Sciences: An Empirical and Numerical Study (2004)
Roehner, M., Sornette, D., Andersen, J. V.
We show that, provided one focuses on properly selected episodes, one can apply to the social sciences the same observational strategy that has proved successful in natural sciences such as...
Response Functions to Critical Shocks in Social Sciences: An Empirical and Numerical Study (2004)
Roehner, B., Sornette, D., Andersen, J. V.
We show that, provided one focuses on properly selected episodes, one can apply to the social sciences the same observational strategy that has proved successful in natural sciences such as...
Response Functions to Critical Shocks in Social Sciences: An Empirical and Numerical Study (2004)
Roehner, B., Sornette, D., Andersen, J. V.
We show that, provided one focuses on properly selected episodes, one can apply to the social sciences the same observational strategy that has proved successful in natural sciences such as...
Helmstetter, A., Hergarten, Stefan, Sornette, D.
Following Hergarten and Neugebauer [1] who discovered aftershock and foreshock sequences in the Olami-Feder-Christensen (OFC) discrete block-spring earthquake model, we investigate to what degree the...
Helmstetter, A., Hergarten, Stefan, Sornette, D.
Following Hergarten and Neugebauer [1] who discovered aftershock and foreshock sequences in the Olami-Feder-Christensen (OFC) discrete block-spring earthquake model, we investigate to what degree the...
Helmstetter, A., Hergarten, Stefan, Sornette, D.
Following Hergarten and Neugebauer [1] who discovered aftershock and foreshock sequences in the Olami-Feder-Christensen (OFC) discrete block-spring earthquake model, we investigate to what degree the...
Helmstetter, A., Hergarten, Stefan, Sornette, D.
Following Hergarten and Neugebauer [1] who discovered aftershock and foreshock sequences in the Olami-Feder-Christensen (OFC) discrete block-spring earthquake model, we investigate to what degree the...
Helmstetter, A., Hergarten, Stefan, Sornette, D.
Following Hergarten and Neugebauer [1] who discovered aftershock and foreshock sequences in the Olami-Feder-Christensen (OFC) discrete block-spring earthquake model, we investigate to what degree the...
Helmstetter, A., Hergarten, S., Sornette, D.
Following Hergarten and Neugebauer [2002] who discovered aftershock and foreshock sequences in the Olami-Feder-Christensen (OFC) discrete block-spring earthquake model, we investigate to what degree...
Using the descriptive method of log-periodic power laws (LPPL) based on a theory of behavioral herding, we use a battery of parametric and non-parametric tests to demonstrate the existence of an...
Antibubble and Prediction of China's stock market and Real-Estate (2003)
We document a well-developed log-periodic power-law antibubble in China's stock market, which started in August 2001. We argue that the current stock market antibubble is sustained by a contemporary...
Deviations of the distributions of seismic energies from the Gutenberg-Richter law (2003)
Pisarenko, V., Sornette, D., Rodkin, M.
A new non-parametric statistic is introduced for the characterization of deviations from power laws. It is tested on the distribution of seismic energies given by the Gutenberg-Richter law. Based on...
Andrade, Omori and Time-to-failure Laws from Thermal Noise in Material Rupture (2003)
Using the simplest possible ingredients of a rupture model with thermal fluctuations, we provide an analytical theory of three ubiquitous empirical observations obtained in creep (constant applied...
Fearless versus Fearful Speculative Financial Bubbles (2003)
Using a recently introduced rational expectation model of bubbles, based on the interplay between stochasticity and positive feedbacks of prices on returns and volatility, we develop a new...
Sornette, D., Deschatres, F., Gilbert, T., Ageon, Y.
Are large biological extinctions such as the Cretaceous/Tertiary KT boundary due to a meteorite, extreme volcanic activity or self-organized critical extinction cascades? Are commercial successes due...
Testing the Stability of the 2000-2003 US Stock Market "Antibubble" (2003)
Since August 2000, the stock market in the USA as well as most other western markets have depreciated almost in synchrony according to complex patterns of drops and local rebounds. In \cite{SZ02QF},...
On Statistical Methods of Parameter Estimation for Deterministically Chaotic Time-Series (2003)
Pisarenko, V. F., Sornette, D.
We discuss the possibility of applying some standard statistical methods (the least square method, the maximum likelihood method, the method of statistical moments for estimation of parameters) to...
Previous analyses of a large ensemble of stock markets have demonstrated that a log-periodic power law (LPPL) behavior of the prices constitutes a qualifying signature of speculative bubbles that...
Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law? (2003)
Malevergne, Y., Pisarenko, V. F., Sornette, D.
A large consensus now seems to take for granted that the distributions of empirical returns of financial time series are regularly varying, with a tail exponent close to 3. We revisit this results...
Towards Landslide Predictions: Two Case Studies (2003)
Sornette, D., Helmstetter, A., Andersen, J. V., Gluzman, S., Pisarenko, V.
In a previous work [Helmstetter, 2003], we have proposed a simple physical model to explain the accelerating displacements preceding some catastrophic landslides, based on a slider-block model with a...
The US 2000-2003 Market Descent: Clarifications (2003)
In a recent comment (Johansen A 2003 An alternative view, Quant. Finance 3: C6-C7, cond-mat/0302141), Anders Johansen has criticized our methodology and has questioned several of our results...
Saichev, A., Helmstetter, A., Sornette, D.
We consider a general stochastic branching process, which is relevant to earthquakes as well as to many other systems, and we study the distributions of the total number of offsprings (direct and...
Predictability of large future changes in major financial indices (2003)
We present a systematic algorithm testing for the existence of collective self-organization in the behavior of agents in social systems, with a concrete empirical implementation on the Dow Jones...
Long-range Static Directional Stress Transfer in a Cracked, Nonlinear Elastic Crust (2003)
Seeing the Earth crust as crisscrossed by faults filled with fluid at close to lithostatic pressures, we develop a model in which its elastic modulii are different in net tension versus compression....
2000-2003 Real Estate Bubble in the UK but not in the USA (2003)
In the aftermath of the burst of the ``new economy'' bubble in 2000, the Federal Reserve aggressively reduced short-term rates yields in less than two years from 6.5% to 1.25% in an attempt to coax...
Summation of Power Series by Self-Similar Factor Approximants (2003)
Yukalov, V. I., Gluzman, S., Sornette, D.
A novel method of summation for power series is developed. The method is based on the self-similar approximation theory. The trick employed is in transforming, first, a series expansion into a...
Critical Market Crashes (2003)
This review is a partial synthesis of the book ``Why stock market crash'' (Princeton University Press, January 2003), which presents a general theory of financial crashes and of stock market...
We propose a straightforward extension of our previously proposed log-periodic power law model of the ``anti-bubble'' regime of the USA market since the summer of 2000, in terms of the...
Finite-Time Singularity Signature of Hyperinflation (2003)
We present a novel analysis extending the recent work of Mizuno et al. [2002] on the hyperinflations of Germany (1920/1/1-1923/11/1), Hungary (1945/4/30-1946/7/15), Brazil (1969-1994), Israel...
Using a family of modified Weibull distributions, encompassing both sub-exponentials and super-exponentials, to parameterize the marginal distributions of asset returns and their multivariate...
Slider-Block Friction Model for Landslides: Application to Vaiont and La Clapiere Landslides (2003)
Helmstetter, A., Sornette, D., Andersen, J. V., Gluzman, S., Pisarenko, V.
Accelerating displacements preceding some catastrophic landslides have been found empirically to follow a time-to-failure power law, corresponding to a finite-time singularity of the velocity $v...
Fearless versus Fearful Speculative Financial Bubbles (2003)
Using a recently introduced rational expectation model of bubbles, based on the interplay between stochasticity and positive feedbacks of prices on returns and volatility, we develop a new...
The epidemic-type aftershock sequence model (ETAS) is a simple stochastic process modeling seismicity, based on the two best-established empirical laws, the Omori law (power law decay ~1/t^{1+\theta}...
The epidemic-type aftershock sequence model (ETAS) is a simple stochastic process modeling seismicity, based on the two best-established empirical laws, the Omori law (power law decay ~1/t^{1+\theta}...
Slider-Block Friction Model for Landslides: Application to Vaiont and La Clapiere Landslides (2003)
Helmstetter, A., Sornette, D., Andersen, J. V., Gluzman, S., Pisarenko, V.
Accelerating displacements preceding some catastrophic landslides have been found empirically to follow a time-to-failure power law, corresponding to a finite-time singularity of the velocity $v...
Fearless versus Fearful Speculative Financial Bubbles (2003)
Using a recently introduced rational expectation model of bubbles, based on the interplay between stochasticity and positive feedbacks of prices on returns and volatility, we develop a new...
Helmstetter, Agnès, Sornette, D., Grasso, Jean-Robert
The inverse Omori law for foreshocks discovered in the 1970s states that the rate of earthquakes prior to a mainshock increases on average as a power law ∝ 1/(tc − t)p ′ of the time...
Endogeneous Versus Exogeneous Shocks in Systems with Memory (2003)
Systems with long-range persistence and memory are shown to exhibit different precursory as well as recovery patterns in response to shocks of exogeneous versus endogeneous origins. By endogeneous,...
Bath’s law Derived from the Gutenberg-Richter law and from Aftershock Properties (2003)
The empirical Ba°th’s law states that the average difference in magnitude between a mainshock and its largest aftershock is 1.2, regardless of the mainshock magnitude. Following Vere-Jones’...
Foreshocks Explained by Cascades of Triggered Seismicity (2003)
The observation of foreshocks preceding large earthquakes and the suggestion that foreshocks have specific properties that may be used to distinguish them from other earthquakes have raised the hope...
Are Aftershocks of Large Californian Earthquakes Diffusing? (2003)
Helmstetter, A., Ouillon, Guy, Sornette, D.
We analyze 21 aftershock sequences of California to test for evidence of space-time diffusion. Aftershock diffusion may result from stress diffusion and is also predicted by any mechanism of stress...
Bath's law Derived from the Gutenberg-Richter law and from Aftershock Properties (2003)
The empirical Ba°th's law states that the average difference in magnitude between a mainshock and its largest aftershock is 1.2, regardless of the mainshock magnitude. Following Vere-Jones' [1969]...
Foreshocks Explained by Cascades of Triggered Seismicity (2003)
The observation of foreshocks preceding large earthquakes and the suggestion that foreshocks have specific properties that may be used to distinguish them from other earthquakes have raised the hope...
Are Aftershocks of Large Californian Earthquakes Diffusing? (2003)
Helmstetter, A., Ouillon, Guy, Sornette, D.
We analyze 21 aftershock sequences of California to test for evidence of space-time diffusion. Aftershock diffusion may result from stress diffusion and is also predicted by any mechanism of stress...
Helmstetter, Agnès, Sornette, D., Grasso, Jean-Robert
The inverse Omori law for foreshocks discovered in the 1970s states that the rate of earthquakes prior to a mainshock increases on average as a power law ∝ 1/(tc − t)p ′ of the time to the...
Endogeneous Versus Exogeneous Shocks in Systems with Memory (2003)
Systems with long-range persistence and memory are shown to exhibit different precursory as well as recovery patterns in response to shocks of exogeneous versus endogeneous origins. By endogeneous,...
Bath's law Derived from the Gutenberg-Richter law and from Aftershock Properties (2003)
The empirical Ba°th's law states that the average difference in magnitude between a mainshock and its largest aftershock is 1.2, regardless of the mainshock magnitude. Following Vere-Jones' [1969]...
Foreshocks Explained by Cascades of Triggered Seismicity (2003)
The observation of foreshocks preceding large earthquakes and the suggestion that foreshocks have specific properties that may be used to distinguish them from other earthquakes have raised the hope...
Are Aftershocks of Large Californian Earthquakes Diffusing? (2003)
Helmstetter, A., Ouillon, Guy, Sornette, D.
We analyze 21 aftershock sequences of California to test for evidence of space-time diffusion. Aftershock diffusion may result from stress diffusion and is also predicted by any mechanism of stress...
Helmstetter, Agnès, Sornette, D., Grasso, Jean-Robert
The inverse Omori law for foreshocks discovered in the 1970s states that the rate of earthquakes prior to a mainshock increases on average as a power law ∝ 1/(tc − t)p ′ of the time to the...
Endogeneous Versus Exogeneous Shocks in Systems with Memory (2003)
Systems with long-range persistence and memory are shown to exhibit different precursory as well as recovery patterns in response to shocks of exogeneous versus endogeneous origins. By endogeneous,...
Bath's law Derived from the Gutenberg-Richter law and from Aftershock Properties (2003)
The empirical Ba°th's law states that the average difference in magnitude between a mainshock and its largest aftershock is 1.2, regardless of the mainshock magnitude. Following Vere-Jones' [1969]...
Foreshocks Explained by Cascades of Triggered Seismicity (2003)
The observation of foreshocks preceding large earthquakes and the suggestion that foreshocks have specific properties that may be used to distinguish them from other earthquakes have raised the hope...
Are Aftershocks of Large Californian Earthquakes Diffusing? (2003)
Helmstetter, A., Ouillon, Guy, Sornette, D.
We analyze 21 aftershock sequences of California to test for evidence of space-time diffusion. Aftershock diffusion may result from stress diffusion and is also predicted by any mechanism of stress...
Helmstetter, Agnès, Sornette, D., Grasso, Jean-Robert
The inverse Omori law for foreshocks discovered in the 1970s states that the rate of earthquakes prior to a mainshock increases on average as a power law ∝ 1/(tc − t)p ′ of the time to the...
Endogeneous Versus Exogeneous Shocks in Systems with Memory (2003)
Systems with long-range persistence and memory are shown to exhibit different precursory as well as recovery patterns in response to shocks of exogeneous versus endogeneous origins. By endogeneous,...
Bath's law Derived from the Gutenberg-Richter law and from Aftershock Properties (2003)
The empirical Ba°th's law states that the average difference in magnitude between a mainshock and its largest aftershock is 1.2, regardless of the mainshock magnitude. Following Vere-Jones' [1969]...
Foreshocks Explained by Cascades of Triggered Seismicity (2003)
The observation of foreshocks preceding large earthquakes and the suggestion that foreshocks have specific properties that may be used to distinguish them from other earthquakes have raised the hope...
Are Aftershocks of Large Californian Earthquakes Diffusing? (2003)
Helmstetter, A., Ouillon, Guy, Sornette, D.
We analyze 21 aftershock sequences of California to test for evidence of space-time diffusion. Aftershock diffusion may result from stress diffusion and is also predicted by any mechanism of stress...
Helmstetter, Agnès, Sornette, D., Grasso, Jean-Robert
The inverse Omori law for foreshocks discovered in the 1970s states that the rate of earthquakes prior to a mainshock increases on average as a power law ∝ 1/(tc − t)p ′ of the time to the...
Endogeneous Versus Exogeneous Shocks in Systems with Memory (2003)
Systems with long-range persistence and memory are shown to exhibit different precursory as well as recovery patterns in response to shocks of exogeneous versus endogeneous origins. By endogeneous,...
Evidence of a Worldwide Stock Market Log-Periodic Anti-Bubble Since Mid-2000 (2002)
Following our previous investigation of the USA Standard and Poor index anti-bubble that started in August 2000, we analyze thirty eight world stock market indices and identify 21 anti-bubble. An...
We use a mathematical technique, the self-similar functional renormalization, to construct formulas for the average conductivity that apply for large heterogeneity, based on perturbative expansions...
Endogenous versus Exogenous Crashes in Financial Markets (2002)
We perform an extended analysis of the distribution of drawdowns in the two leading exchange markets (US dollar against the Deutsmark and against the Yen), in the major world stock markets, in the...
Predictability of catastrophic events; a new approach for Structural Health Monitoring (2002)
We present a non-traditional general methodology for the prediction of breakdown of engineering structures, based on a global top-down monitoring of the health of the structure modelled by the theory...
Through simple analytical calculations and numerical simulations, we demonstrate the generic existence of a self-organized macroscopic state in any large multivariate system possessing non-vanishing...
The US 2000-2002 Market Descent: How Much Longer and Deeper? (2002)
A remarkable similarity in the behavior of the US S&P500 index from 1996 to August 2002 and of the Japanese Nikkei index from 1985 to 1992 (11 years shift) is presented, with particular emphasis on...
Predictability in the ETAS Model of Interacting Triggered Seismicity (2002)
As part of an effort to develop a systematic methodology for earthquake forecasting, we use a simple model of seismicity based on interacting events which may trigger a cascade of earthquakes, known...
Self-Similar Factor Approximants (2002)
Gluzman, S., Yukalov, V. I., Sornette, D.
The problem of reconstructing functions from their asymptotic expansions in powers of a small variable is addressed by deriving a novel type of approximants. The derivation is based on the...
Search for Direct Stress Correlation Signatures of the Critical Earthquake Model (2002)
We propose a new test of the critical earthquake model based on the hypothesis that precursory earthquakes are ``actors'' that create fluctuations in the stress field which exhibit an increasing...
Slider-Block Friction Model for Landslides: Application to Vaiont and La Clapiere Landslides (2002)
Helmstetter, A., Sornette, D., Andersen, J. V., Gluzman, S., Pisarenko, V.
Accelerating displacements preceding some catastrophic landslides have been found empirically to follow a time-to-failure power law, corresponding to a finite-time singularity of the velocity $v \sim...
We extend the analysis of [Zhou and Sornette, Physica D 165, 94-125, 2002] showing statistically significant log-periodic corrections to scaling in the moments of the energy dissipation rate in...
We introduce a new set of consistent measures of risks, in terms of the semi-invariants of pdf's, such that the centered moments and the cumulants of the portfolio distribution of returns that put...
Endogeneous Versus Exogeneous Shocks in Systems with Memory (2002)
Systems with long-range persistence and memory are shown to exhibit different precursory as well as recovery patterns in response to shocks of exogeneous versus endogeneous origins. By endogeneous,...
Hedging Extreme Co-Movements (2002)
Based on a recent theorem due to the authors, it is shown how the extreme tail dependence between an asset and a factor or index or between two assets can be easily calibrated. Portfolios constructed...
The inverse Omori law for foreshocks discovered in the 1970s states that the rate of earthquakes prior to a mainshock increases on average as a power law ~ 1/(t_c-t)^p' of the time to the mainshock...
Volatility fingerprints of large shocks: Endogeneous versus exogeneous (2002)
Sornette, D., Malevergne, Y., Muzy, J. F.
Finance is about how the continuous stream of news gets incorporated into prices. But not all news have the same impact. Can one distinguish the effects of the Sept. 11, 2001 attack or of the coup...
Reconstructing Generalized Exponential Laws by Self-Similar Exponential Approximants (2002)
Gluzman, S., Sornette, D., Yukalov, V. I.
We apply the technique of self-similar exponential approximants based on successive truncations of continued exponentials to reconstruct functional laws of the quasi-exponential class from the...
The epidemic-type aftershock sequence model (ETAS) is a simple stochastic process modeling seismicity, based on the two best-established empirical laws, the Omori law (power law decay ~1/t^{1+\theta}...
Investigating Extreme Dependences: Concepts and Tools (2002)
We investigate the relative information content of six measures of dependence between two random variables $X$ and $Y$ for large or extreme events for several models of interest for financial time...
Tail Dependence of Factor Models (2002)
Using the framework of factor models, we establish the general expression of the coefficient of tail dependence between the market and a stock (i.e., the probability that the stock incurs a large...
Fractal Plate Tectonics (2002)
Sornette, D., Pisarenko, V. F.
We analyze in details the statistical significance of the claim by Bird [2002] of a power law distribution of plate areas covering the Earth and confirm that the power law with exponent 0.25 +- 0.05...
Pisarenko, V. F., Sornette, D.
We present a quantitative statistical test for the presence of a crossover c0 in the Gutenberg-Richter distribution of earthquake seismic moments, separating the usual power law regime for seismic...
On Rational Bubbles and Fat Tails (2002)
Journal of Money, Credit, and Banking - Volume 34, Number 3 (Part 1), August 2002
We present a new kind of critical stochastic finite-time-singularity, relying on the interplay between long-memory and extreme fluctuations. We illustrate it on the well-established epidemic-type...
Sub-critical and Super-critical Regimes in Epidemic Models of Earthquake Aftershocks (2002)
We present an analytical solution and numerical tests of the epidemic-type aftershock (ETAS) model for aftershocks, which describes foreshocks, aftershocks and mainshocks on the same footing. The...
We present a new kind of critical stochastic finite-time-singularity, relying on the interplay between long-memory and extreme fluctuations. We illustrate it on the well-established epidemic-type...
Sub-critical and Super-critical Regimes in Epidemic Models of Earthquake Aftershocks (2002)
We present an analytical solution and numerical tests of the epidemic-type aftershock (ETAS) model for aftershocks, which describes foreshocks, aftershocks and mainshocks on the same footing. The...
We present a new kind of critical stochastic finite-time-singularity, relying on the interplay between long-memory and extreme fluctuations. We illustrate it on the well-established epidemic-type...
Testing the Gaussian Copula Hypothesis for Financial Assets Dependences (2001)
Using one of the key property of copulas that they remain invariant under an arbitrary monotonous change of variable, we investigate the null hypothesis that the dependence between financial assets...
Mechanism for Powerlaws without Self-Organization (2001)
A recent claim has been made in the journal Nature that there must be a self-regulation in the waiting times to see hospital consultants on the ground that the relative changes in the size of waiting...
Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos (2001)
Corcos, A., Malaspinas, A., Malevergne, Y., Sornette, D.
Imitative and contrarian behaviors are the two typical opposite attitudes of investors in stock markets. We introduce a simple model to investigate their interplay in a stock market where agents can...
Sub-critical and Super-critical Regimes in Epidemic Models of Earthquake Aftershocks (2001)
We present an analytical solution and numerical tests of the epidemic-type aftershock (ETAS) model for aftershocks, which describes foreshocks, aftershocks and mainshocks on the same footing. The...
We propose that catastrophic events are "outliers" with statistically different properties than the rest of the population and result from mechanisms involving amplifying critical cascades....
Positive Feedback, Memory and the Predictability of Earthquakes (2001)
We review the "critical point" concept for large earthquakes and enlarge it in the framework of so-called "finite-time singularities". The singular behavior associated with accelerated seismic...
Significance of log-periodic precursors to financial crashes (2001)
We clarify the status of log-periodicity associated with speculative bubbles preceding financial crashes. In particular, we address Feigenbaum's [2001] criticism and show how it can be rebuked....
Log-periodic route to fractal functions (2001)
Log-periodic oscillations have been found to decorate the usual power law behavior found to describe the approach to a critical point, when the continuous scale-invariance symmetry is partially...
Oscillatory Finite-Time Singularities in Finance, Population and Rupture (2001)
We present a simple two-dimensional dynamical system where two nonlinear terms, exerting respectively positive feedback and reversal, compete to create a singularity in finite time decorated by...
This is a short letter summarizing the long paper cond-mat/0106047 in which we present a simple two-dimensional dynamical system reaching a singularity in finite time decorated by accelerating...
A Nonlinear Super-Exponential Rational Model of Speculative Financial Bubbles (2001)
Keeping a basic tenet of economic theory, rational expectations, we model the nonlinear positive feedback between agents in the stock market as an interplay between nonlinearity and multiplicative...
General framework for a portfolio theory with non-Gaussian risks and non-linear correlations (2001)
Using a family of modified Weibull distributions, encompassing both sub-exponentials and super-exponentials, to parameterize the marginal distributions of asset returns and their natural multivariate...
From Rational Bubbles to Crashes (2001)
We study and generalize in various ways the model of rational expectation (RE) bubbles introduced by Blanchard and Watson in the economic literature. First, bubbles are argued to be the equivalent of...
We extend the model of rational bubbles of Blanchard and of Blanchard and Watson to arbitrary dimensions d: a number d of market time series are made linearly interdependent via d times d stochastic...
The dynamics of the forward interest rate curve with stochastic string shocks (2001)
This article offers a new class of models for the term structure of forward interest rates. We allow each instantaneous forward rate to be driven by a different stochastic shock, but constrain the...
Solitary waves and supersonic reaction front in metastable solids (2000)
Viljoen, Hendrik J., Lauderback, Lee L., Sornette, D.
Motivated by an increasing number of remarkable experimental observations on the role of pressure and shear stress in solid reactions,explosions and detonations,we present a simple toy model that...
Solitary waves and supersonic reaction front in metastable solids (2000)
Viljoen, Hendrik J., Lauderback, Lee L., Sornette, D.
Motivated by an increasing number of remarkable experimental observations on the role of pressure and shear stress in solid reactions, explosions and detonations, we present a simple toy model that...
Functional Renormalization Prediction of Rupture (2000)
Gluzman, S., Andersen, J. V., Sornette, D.
We develop theoretical formulas for the prediction of the rupture of systems which are known to exhibit a critical behavior, based solely on the knowledge of the early time evolution of an...
Characterization of the frequency of extreme events by the Generalized Pareto Distribution (2000)
Pisarenko, V. F., Sornette, D.
Based on recent results in extreme value theory, we use a new technique for the statistical estimation of distribution tails. Specifically, we use the Gnedenko-Pickands-Balkema-de Haan theorem, which...
Fokker-Planck equation of distributions of financial returns and power laws (2000)
Our purpose is to relate the Fokker-Planck formalism proposed by [Friedrich et al., Phys. Rev. Lett. 84, 5224 (2000)] for the distribution of stock market returns to the empirically well-established...
Self-Consistent Theory of Rupture by Progressive Diffuse Damage (2000)
We analyze a self-consistent theory of crack growth controlled by a cumulative damage variable d(t) dependent on stress history. As a function of the damage exponent $m$, which controls the rate of...
"Slimming" of power law tails by increasing market returns (2000)
We introduce a simple generalization of rational bubble models which removes the fundamental problem discovered by [Lux and Sornette, 1999] that the distribution of returns is a power law with...
Multifractal returns and Hierarchical Portfolio Theory (2000)
Sornette, D., Delour, J., Arneodo, A.
We extend and test empirically the multifractal model of asset returns based on a multiplicative cascade of volatilities from large to small time scales. The multifractal description of asset...
Huang, Y., Saleur, H., Sornette, D.
Based on several empirical evidence, a series of papers has advocated the concept that seismicity prior to a large earthquake can be understood in terms of the statistical physics of a critical phase...
O'Brien, T. P., Sornette, D., McPherron, R. L.
We introduce the Statistical Asynchronous Regression (SAR) method: a technique for determining a relationship between two time varying quantities without simultaneous measurements of both quantities....
The Kalman filter combines forecasts and new observations to obtain an estimation which is optimal in the sense of a minimum average quadratic error. The Kalman filter has two main restrictions: (i)...
Stock Market Speculation: Spontaneous Symmetry Breaking of Economic Valuation (2000)
Firm foundation theory estimates a security's firm fundamental value based on four determinants: expected growth rate, expected dividend payout, the market interest rate and the degree of risk. In...
Economy of scales in R&D with block-busters (2000)
Are large scale research programs that include many projects more productive than smaller ones with fewer projects? This problem of economy of scale is particularly relevant for understanding recent...
The critical earthquake concept applied to mine rockbursts with time-to-failure analysis (2000)
We report new tests of the critical earthquake concepts performed on rockbursts in deep South African mines. We extend the concept of an optimal time and space correlation region and test it on the...
"Thermometers" of Speculative Frenzy (2000)
Establishing unambiguously the existence of speculative bubbles is an on-going controversy complicated by the need of defining a model of fundamental prices. Here, we present a novel empirical method...
We present a simple and general result that the sign of the variations or increments of uncorrelated times series are predictable with a remarkably high success probability of 75% for symmetric sign...
Acoustic fluidization for earthquakes? (2000)
Melosh [1996] has suggested that acoustic fluidization could provide an alternative to theories that are invoked as explanations for why some crustal faults appear to be weak. We show that there is a...
Hendrik J. Blok, D. Sornette, A. Johansen, Parameswaran Gopikrishnan, Vasiliki Plerou, ...
We accept this dissertation as conforming
New Evidence of Earthquake Precursory Phenomena in the 17 Jan. 1995 Kobe Earthquake, Japan (1999)
Johansen, A., Saleur, H., Sornette, D.
Significant advances, both in the theoretical understanding of rupture processes in heterogeneous media and in the methodology for characterizing critical behavior, allows us to reanalyze the...
Artifactual log-periodicity in finite size data: Relevance for earthquake aftershocks (1999)
Huang, Y., Johansen, A., Lee, M. W., Saleur, H., Sornette, D.
The recently proposed discrete scale invariance and its associated log-periodicity are an elaboration of the concept of scale invariance in which the system is scale invariant only under powers of...
On Rational Bubbles and Fat Tails (1999)
This paper addresses the statistical properties of time series driven by rational bubbles a la Blanchard and Watson (1982), corresponding to multiplicative maps, whose study has recently be revived...
Fundamental Framework for Technical Analysis (1999)
Andersen, J. V., Gluzman, S., Sornette, D.
Starting from the characterization of the past time evolution of market prices in terms of two fundamental indicators, price velocity and price acceleration, we construct a general classification of...
Market Fluctuations: multiplicative and percolation models, size effects and predictions (1999)
Sornette, D., Stauffer, D., Takayasu, H.
We present a set of models of the main stylized facts of market price fluctuations. These models comprise dynamical evolution with threshold dynamics and Langevin price equation with multiplicative...
Have your cake and eat it too: increasing returns while lowering large risks! (1999)
Based on a faithful representation of the heavy tail multivariate distribution of asset returns introduced previously (Sornette et al., 1998, 1999) that we extend to the case of asymmetric return...
Self-Organized Percolation Model for Stock Market Fluctuations (1999)
Stauffer, Dietrich, Sornette, D.
In the Cont-Bouchaud model [cond-mat/9712318] of stock markets, percolation clusters act as buying or selling investors and their statistics controls that of the price variations. Rather than fixing...
Roehner, Bertrand, Sornette, D.
We document and analyze the empirical facts concerning one of the clearest evidence of speculation in financial trading as observed in the postage collection stamp market. We unravel some of the...
Renormalization of earthquake aftershocks (1999)
Together with the Gutenberg-Richter distribution of earthquake magnitudes, Omori's law is the best established empirical characterization of earthquake sequences and states that the number of smaller...
General theory of the modified Gutenberg-Richter law for large seismic moments (1999)
The Gutenberg-Richter power law distribution of earthquake sizes is one of the most famous example illustrating self-similarity. It is well-known that the Gutenberg-Richter distribution has to be...
Persistence and Quiescence of Seismicity on Fault Systems (1999)
Lee, M. W., Sornette, D., Knopoff, L.
We study the statistics of simulated earthquakes in a quasistatic model of two parallel heterogeneous faults within a slowly driven elastic tectonic plate. The probability that one fault remains...
Novel Mechanism for Discrete Scale Invariance in Sandpile Models (1999)
Numerical simulations and a mean-field analysis of a sandpile model of earthquake aftershocks in 1d, 2d and 3d euclidean lattices determine that the average stress decays in a punctuated fashion...
Sornette, D., Simonetti, P., Andersen, J. V.
This paper offers a precise analytical characterization of the distribution of returns for a portfolio constituted of assets whose returns are described by an arbitrary joint multivariate...
Financial ``Anti-Bubbles'': Log-Periodicity in Gold and Nikkei collapses (1999)
We propose that imitation between traders and their herding behaviour not only lead to speculative bubbles with accelerating over-valuations of financial markets possibly followed by crashes, but...
Minimizing volatility increases large risks (1998)
Sornette, D., Andersen, J. V., Simonetti, P.
We introduce a faithful representation of the heavy tail multivariate distribution of asset returns, as parsimonous as the Gaussian framework. Using calculation techniques of functional integration...
Data-Adaptive Wavelets and Multi-Scale Singular Spectrum Analysis (1998)
Yiou, P., Sornette, D., Ghil, M.
Using multi-scale ideas from wavelet analysis, we extend singular-spectrum analysis (SSA) to the study of nonstationary time series of length $N$ whose intermittency can give rise to the divergence...
Testing self-organized criticality by induced seismicity (1998)
We examine the hypothesis proposed in recent years by several authors that the crust is in a self-organized critical (SOC) state by exploring how the SOC concept can help in understanding the...
Solid friction at high sliding velocities: an explicit 3D dynamical SPH approach (1998)
Maveyraud, C., Benz, W., Ouillon, G., Sornette, A., Sornette, D.
We present realistic 3D numerical simulations of elastic bodies sliding on top of each other in a regime of velocities ranging from meters to tens of meters per second using the so-called Smoothed...
Mechanochemistry: an hypothesis for shallow earthquakes (1998)
We advance the novel hypothesis that water in the presence of finite localized strain within fault gouges may lead to the phase transformation of stable minerals into metastable polymorphs of higher...
Earthquakes: from chemical alteration to mechanical rupture (1998)
In the standard rebound theory of earthquakes, elastic deformation energy is progressively stored in the crust until a threshold is reached at which it is suddenly released in an earthquake. We...
Gauge theory of Finance? (1998)
Some problems with the recent stimulating proposal of a ``Gauge Theory of Finance'' by Ilinski and collaborators are outlined. First, the derivation of the log-normal distribution is shown equivalent...
An Observational Test of the Critical Earthquake Concept (1998)
Bowman, D. D., Ouillon, G., Sammis, C. G., Sornette, A., Sornette, D.
We test the concept that seismicity prior to a large earthquake can be understood in terms of the statistical physics of a critical phase transition. In this model, the cumulative seismic strain...
Evidence of discrete scale invariance in DLA and time-to-failure by canonical averaging (1998)
Discrete scale invariance, which corresponds to a partial breaking of the scaling symmetry, is reflected in the existence of a hierarchy of characteristic scales l0, c l0, c^2 l0,... where c is a...
The sharp peak-flat trough pattern and critical speculation (1998)
We find empirically a characteristic sharp peak-flat trough pattern in a large set of commodity prices. We argue that the sharp peak structure reflects an endogenous inter-market organization, and...
``String'' formulation of the Dynamics of the Forward Interest Rate Curve (1998)
We propose a formulation of the term structure of interest rates in which the forward curve is seen as the deformation of a string. We derive the general condition that the partial differential...
Discrete scale invariance in turbulence? (1998)
Based on theoretical argument and experimental evidence, we conjecture that structure functions of turbulent times series exhibit log-periodic modulations decorating their power law dependence. In...
The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks (1998)
This paper offers a new class of models of the term structure of interest rates. We allow each instantaneous forward rate to be driven by a different stochastic shock, constrained in such a way as to...
To account quantitatively for many reported ``natural'' fat tail distributions in Nature and Economy, we propose the stretched exponential family as a complement to the often used power law...
Eur. Phys. J. B 8, 653--664 (1999) (1998)
The European Physical, D. Sornette, D. Zajdenweber
At what level should government or companies support research? This complex multi-faceted question encompasses such qualitative bonus as satisfying natural human curiosity, the quest for knowledge...
Conditions for abrupt failure in the democratic fiber bundle model (1997)
We argue that the existence of abrupt failure in the democratic fiber bundle model is more general than concluded by da Silveira in his comment (cond-mat/9709327). We refute his claim that the nature...
Stock market crashes are outliers (1997)
We call attention against what seems to a widely held misconception according to which large crashes are the largest events of distributions of price variations with fat tails. We demonstrate on the...
Linear stochastic dynamics with nonlinear fractal properties (1997)
Stochastic processes with multiplicative noise have been studied independently in several different contexts over the past decades. We focus on the regime, found for a generic set of control...
Multiplicative processes and power laws (1997)
[Takayasu et al., Phys. Rev.Lett. 79, 966 (1997)] revisited the question of stochastic processes with multiplicative noise, which have been studied in several different contexts over the past...
Causal cascade in the stock market from the ``infrared'' to the ``ultraviolet'' (1997)
Modelling accurately financial price variations is an essential step underlying portfolio allocation optimization, derivative pricing and hedging, fund management and trading. The observed complex...
Scaling with respect to disorder in time-to-failure (1997)
We revisit a simple dynamical model of rupture in random media with long-range elasticity to test whether rupture can be seen as a first-order or a critical transition. We find a clear scaling of the...
Extreme deviations and applications (1997)
Stretched exponential probability density functions (pdf), having the form of the exponential of minus a fractional power of the argument, are commonly found in turbulence and other areas. They can...
The Paradox of the expected Time until the Next Earthquake (1997)
We show analytically that the answer to the question, "The longer it has been since the last earthquake, the longer the expected time till the next ?" depends crucially on the statistics of the...
Extreme Deviations and Applications (1997)
Stretched exponential probability density functions (pdf), having the form of the exponential of minus a fractional power of the argument, are commonly found in turbulence and other areas. They can...
Extreme Deviations and Applications (1997)
Stretched exponential probability density functions (pdf), having the form of the exponential of minus a fractional power of the argument, are commonly found in turbulence and other areas. They can...
Extreme Deviations and Applications (1997)
Stretched exponential probability density functions (pdf), having the form of the exponential of minus a fractional power of the argument, are commonly found in turbulence and other areas. They can...
Extreme Deviations and Applications (1997)
Stretched exponential probability density functions (pdf), having the form of the exponential of minus a fractional power of the argument, are commonly found in turbulence and other areas. They can...
Extreme Deviations and Applications (1997)
Stretched exponential probability density functions (pdf), having the form of the exponential of minus a fractional power of the argument, are commonly found in turbulence and other areas. They can...
Extreme Deviations and Applications (1997)
Stretched exponential probability density functions (pdf), having the form of the exponential of minus a fractional power of the argument, are commonly found in turbulence and other areas. They can...
Precursors, aftershocks, criticality and self-organized criticality (1996)
Huang, Y., Saleur, H., Sammis, C. G., Sornette, D.
We present a simple model of earthquakes on a pre-existing hierarchical fault network. The system self-organizes on long time scales in a stationary state with a power law Gutenberg-Richter...
Tri-critical behavior in rupture induced by disorder (1996)
We discover a qualitatively new behavior for systems where the load transfer has limiting stress amplification as in real fiber composites. We find that the disorder is a relevant field leading to...
Complex Exponents and Log-Periodic Corrections in Frustrated Systems (1996)
Recently, it has been observed that rupture processes in highly disordered media and earthquakes exhibit universal log-periodic corrections to scaling. We argue that such corrections should actually...
The Imaginary Part of Rock Jointing (1996)
Ouillon, G., Sornette, D., Genter, A., Castaing, C.
The distribution of joint spacings in a granitic massive in Saudi Arabia is found to be well-described by a power-law with characteristic exponent μ≃0.5. We compare the cumulative and...
Renormalization group theory of earthquakes (1996)
H. Saleur, C. G. Sammis, D. Sornette
We study theoretically the physical origin of the proposed discrete scale invariance of earthquake processes, at the origin of the universal log-periodic corrections to scaling, recently discovered...
Faults self-organized by repeated earthquakes in a quasi-static antiplane crack model (1996)
We study a 2D quasi-static discrete crack anti-plane model of a tectonic plate with long range elastic forces and quenched disorder. The plate is driven at its border and the load is transferred to...
Complex Exponents and Log-Periodic Corrections in Frustrated Systems (1996)
Recently, it has been observed that rupture processes in highly disordered media and earthquakes exhibit universal log-periodic corrections to scaling. We argue that such corrections should actually...
The Imaginary Part of Rock Jointing (1996)
Ouillon, G., Sornette, D., Genter, A., Castaing, C.
The distribution of joint spacings in a granitic massive in Saudi Arabia is found to be well-described by a power-law with characteristic exponent μ≃0.5. We compare the cumulative and...
Complex Exponents and Log-Periodic Corrections in Frustrated Systems (1996)
Recently, it has been observed that rupture processes in highly disordered media and earthquakes exhibit universal log-periodic corrections to scaling. We argue that such corrections should actually...
The Imaginary Part of Rock Jointing (1996)
Ouillon, G., Sornette, D., Genter, A., Castaing, C.
The distribution of joint spacings in a granitic massive in Saudi Arabia is found to be well-described by a power-law with characteristic exponent μ≃0.5. We compare the cumulative and...
Renormalization group theory of earthquakes (1996)
Saleur, H., Sammis, C. G., Sornette, D.
We study theoretically the physical origin of the proposed discrete scale invariance of earthquake processes, at the origin of the universal log-periodic corrections to scaling, recently discovered...
Faults self-organized by repeated earthquakes in a quasi-static antiplane crack model (1996)
We study a 2D quasi-static discrete crack anti-plane model of a tectonic plate with long range elastic forces and quenched disorder. The plate is driven at its border and the load is transferred to...
Renormalization group theory of earthquakes (1996)
Saleur, H., Sammis, C. G., Sornette, D.
We study theoretically the physical origin of the proposed discrete scale invariance of earthquake processes, at the origin of the universal log-periodic corrections to scaling, recently discovered...
Faults self-organized by repeated earthquakes in a quasi-static antiplane crack model (1996)
We study a 2D quasi-static discrete crack anti-plane model of a tectonic plate with long range elastic forces and quenched disorder. The plate is driven at its border and the load is transferred to...
Renormalization group theory of earthquakes (1996)
Saleur, H., Sammis, C. G., Sornette, D.
We study theoretically the physical origin of the proposed discrete scale invariance of earthquake processes, at the origin of the universal log-periodic corrections to scaling, recently discovered...
Faults self-organized by repeated earthquakes in a quasi-static antiplane crack model (1996)
We study a 2D quasi-static discrete crack anti-plane model of a tectonic plate with long range elastic forces and quenched disorder. The plate is driven at its border and the load is transferred to...
Complex Exponents and Log-Periodic Corrections in Frustrated Systems (1996)
Recently, it has been observed that rupture processes in highly disordered media and earthquakes exhibit universal log-periodic corrections to scaling. We argue that such corrections should actually...
Renormalization group theory of earthquakes (1996)
Saleur, H., Sammis, C. G., Sornette, D.
We study theoretically the physical origin of the proposed discrete scale invariance of earthquake processes, at the origin of the universal log-periodic corrections to scaling, recently discovered...
Faults self-organized by repeated earthquakes in a quasi-static antiplane crack model (1996)
We study a 2D quasi-static discrete crack anti-plane model of a tectonic plate with long range elastic forces and quenched disorder. The plate is driven at its border and the load is transferred to...
Complex Exponents and Log-Periodic Corrections in Frustrated Systems (1996)
Recently, it has been observed that rupture processes in highly disordered media and earthquakes exhibit universal log-periodic corrections to scaling. We argue that such corrections should actually...
Renormalization group theory of earthquakes (1996)
Saleur, H., Sammis, C. G., Sornette, D.
We study theoretically the physical origin of the proposed discrete scale invariance of earthquake processes, at the origin of the universal log-periodic corrections to scaling, recently discovered...
Faults self-organized by repeated earthquakes in a quasi-static antiplane crack model (1996)
We study a 2D quasi-static discrete crack anti-plane model of a tectonic plate with long range elastic forces and quenched disorder. The plate is driven at its border and the load is transferred to...
Complex Exponents and Log-Periodic Corrections in Frustrated Systems (1996)
Recently, it has been observed that rupture processes in highly disordered media and earthquakes exhibit universal log-periodic corrections to scaling. We argue that such corrections should actually...
Reply to Mikheev's Comment on the Black-Scholes Pricing Problem (1995)
No abstract available
Le Floc'H, C., Sornette, D., Souillard, B.
Based on the idea that the rupture of heterogenous systems is similar to a critical point, we show how to predict the failure stress with good reliability and precision (≈5%) from acoustic...
G. Ouillon, D. Sornette, C. Castaing
The classical method of statistical physics deduces the macroscopic behaviour of a system from the organization and interactions of its microscopical constituents. This kind of problem can often be...
Reply to Mikheev's Comment on the Black-Scholes Pricing Problem (1995)
No abstract available
Le Floc'H, C., Sornette, D., Souillard, B.
Based on the idea that the rupture of heterogenous systems is similar to a critical point, we show how to predict the failure stress with good reliability and precision (≈5%) from acoustic...
Reply to Mikheev's Comment on the Black-Scholes Pricing Problem (1995)
No abstract available
Le Floc'H, C., Sornette, D., Souillard, B.
Based on the idea that the rupture of heterogenous systems is similar to a critical point, we show how to predict the failure stress with good reliability and precision (≈5%) from acoustic...
Ouillon, G., Sornette, D., Castaing, C.
The classical method of statistical physics deduces the macroscopic behaviour of a system from the organization and interactions of its microscopical constituents. This kind of problem can often be...
Ouillon, G., Sornette, D., Castaing, C.
The classical method of statistical physics deduces the macroscopic behaviour of a system from the organization and interactions of its microscopical constituents. This kind of problem can often be...
Ouillon, G., Sornette, D., Castaing, C.
The classical method of statistical physics deduces the macroscopic behaviour of a system from the organization and interactions of its microscopical constituents. This kind of problem can often be...
Reply to Mikheev's Comment on the Black-Scholes Pricing Problem (1995)
No abstract available
Le Floc'H, C., Sornette, D., Souillard, B.
Based on the idea that the rupture of heterogenous systems is similar to a critical point, we show how to predict the failure stress with good reliability and precision (≈5%) from acoustic emission...
Ouillon, G., Sornette, D., Castaing, C.
The classical method of statistical physics deduces the macroscopic behaviour of a system from the organization and interactions of its microscopical constituents. This kind of problem can often be...
Reply to Mikheev's Comment on the Black-Scholes Pricing Problem (1995)
No abstract available
Le Floc'H, C., Sornette, D., Souillard, B.
Based on the idea that the rupture of heterogenous systems is similar to a critical point, we show how to predict the failure stress with good reliability and precision (≈5%) from acoustic emission...
Ouillon, G., Sornette, D., Castaing, C.
The classical method of statistical physics deduces the macroscopic behaviour of a system from the organization and interactions of its microscopical constituents. This kind of problem can often be...
Reply to Mikheev's Comment on the Black-Scholes Pricing Problem (1995)
No abstract available
Le Floc'H, C., Sornette, D., Souillard, B.
Based on the idea that the rupture of heterogenous systems is similar to a critical point, we show how to predict the failure stress with good reliability and precision (≈5%) from acoustic emission...
A. Sornette, D. Sornette, P. Evesque
We present exploratory analogies and speculations on the mechanisms underlying the organization of faulting and earthquake in the earth crust. The mechanical properties of the brittle lithosphere at...
Sornette, A., Sornette, D., Evesque, P.
We present exploratory analogies and speculations on the mechanisms underlying the organization of faulting and earthquake in the earth crust. The mechanical properties of the brittle lithosphere at...
Sornette, A., Sornette, D., Evesque, P.
We present exploratory analogies and speculations on the mechanisms underlying the organization of faulting and earthquake in the earth crust. The mechanical properties of the brittle lithosphere at...
Sornette, A., Sornette, D., Evesque, P.
We present exploratory analogies and speculations on the mechanisms underlying the organization of faulting and earthquake in the earth crust. The mechanical properties of the brittle lithosphere at...
Sornette, A., Sornette, D., Evesque, P.
We present exploratory analogies and speculations on the mechanisms underlying the organization of faulting and earthquake in the earth crust. The mechanical properties of the brittle lithosphere at...
Sornette, A., Sornette, D., Evesque, P.
We present exploratory analogies and speculations on the mechanisms underlying the organization of faulting and earthquake in the earth crust. The mechanical properties of the brittle lithosphere at...
1D-LOCALIZATION OF SURFACE ACOUSTIC WAVES BY QUASIPERIODICALLY CORRUGATED SURFACES (1990)
Macon, L., Desideri, J., Sornette, D.
Specific properties of the propagation of surface acoustic waves on quasiperiodically corrugated solids are reviewed. This problem corresponds to the critical regime of the Anderson localization...
Conductivity and rupture in crack-deteriorated systems (1990)
Gilabert, A., Benayad, M., Sornette, A., Sornette, D., Vanneste, C.
Experimental results on the conductivity and rupture properties of two-dimensional continuum crack deteriorated model systems are presented. Two different systems are considered. In case 1, cracks...
1D-LOCALIZATION OF SURFACE ACOUSTIC WAVES BY QUASIPERIODICALLY CORRUGATED SURFACES (1990)
Macon, L., Desideri, J., Sornette, D.
Specific properties of the propagation of surface acoustic waves on quasiperiodically corrugated solids are reviewed. This problem corresponds to the critical regime of the Anderson localization...
Conductivity and rupture in crack-deteriorated systems (1990)
Gilabert, A., Benayad, M., Sornette, A., Sornette, D., Vanneste, C.
Experimental results on the conductivity and rupture properties of two-dimensional continuum crack deteriorated model systems are presented. Two different systems are considered. In case 1, cracks...
1D-LOCALIZATION OF SURFACE ACOUSTIC WAVES BY QUASIPERIODICALLY CORRUGATED SURFACES (1990)
Macon, L., Desideri, J., Sornette, D.
Specific properties of the propagation of surface acoustic waves on quasiperiodically corrugated solids are reviewed. This problem corresponds to the critical regime of the Anderson localization...
Conductivity and rupture in crack-deteriorated systems (1990)
Gilabert, A., Benayad, M., Sornette, A., Sornette, D., Vanneste, C.
Experimental results on the conductivity and rupture properties of two-dimensional continuum crack deteriorated model systems are presented. Two different systems are considered. In case 1, cracks...
1D-LOCALIZATION OF SURFACE ACOUSTIC WAVES BY QUASIPERIODICALLY CORRUGATED SURFACES (1990)
Macon, L., Desideri, J., Sornette, D.
Specific properties of the propagation of surface acoustic waves on quasiperiodically corrugated solids are reviewed. This problem corresponds to the critical regime of the Anderson localization...
Conductivity and rupture in crack-deteriorated systems (1990)
Gilabert, A., Benayad, M., Sornette, A., Sornette, D., Vanneste, C.
Experimental results on the conductivity and rupture properties of two-dimensional continuum crack deteriorated model systems are presented. Two different systems are considered. In case 1, cracks...
1D-LOCALIZATION OF SURFACE ACOUSTIC WAVES BY QUASIPERIODICALLY CORRUGATED SURFACES (1990)
Macon, L., Desideri, J., Sornette, D.
Specific properties of the propagation of surface acoustic waves on quasiperiodically corrugated solids are reviewed. This problem corresponds to the critical regime of the Anderson localization...
Conductivity and rupture in crack-deteriorated systems (1990)
Gilabert, A., Benayad, M., Sornette, A., Sornette, D., Vanneste, C.
Experimental results on the conductivity and rupture properties of two-dimensional continuum crack deteriorated model systems are presented. Two different systems are considered. In case 1, cracks...
1D-LOCALIZATION OF SURFACE ACOUSTIC WAVES BY QUASIPERIODICALLY CORRUGATED SURFACES (1990)
Macon, L., Desideri, J., Sornette, D.
Specific properties of the propagation of surface acoustic waves on quasiperiodically corrugated solids are reviewed. This problem corresponds to the critical regime of the Anderson localization...
Conductivity and rupture in crack-deteriorated systems (1990)
Gilabert, A., Benayad, M., Sornette, A., Sornette, D., Vanneste, C.
Experimental results on the conductivity and rupture properties of two-dimensional continuum crack deteriorated model systems are presented. Two different systems are considered. In case 1, cracks...
Weibull-like failure distribution induced by fluctuations in percolation (1988)
The form of the failure probability distribution for discrete and continuum percolation in the critical region is obtained. The existence of bond-strength fluctuations in continuum percolation...
Weibull-like failure distribution induced by fluctuations in percolation (1988)
The form of the failure probability distribution for discrete and continuum percolation in the critical region is obtained. The existence of bond-strength fluctuations in continuum percolation...
Weibull-like failure distribution induced by fluctuations in percolation (1988)
The form of the failure probability distribution for discrete and continuum percolation in the critical region is obtained. The existence of bond-strength fluctuations in continuum percolation...
Weibull-like failure distribution induced by fluctuations in percolation (1988)
The form of the failure probability distribution for discrete and continuum percolation in the critical region is obtained. The existence of bond-strength fluctuations in continuum percolation...
Weibull-like failure distribution induced by fluctuations in percolation (1988)
The form of the failure probability distribution for discrete and continuum percolation in the critical region is obtained. The existence of bond-strength fluctuations in continuum percolation...
Weibull-like failure distribution induced by fluctuations in percolation (1988)
The form of the failure probability distribution for discrete and continuum percolation in the critical region is obtained. The existence of bond-strength fluctuations in continuum percolation...
Difference between lattice and continuum failure threshold in percolation (1987)
A scaling analysis introduced by Halperin, Feng and Sen to estimate critical exponents for the electrical conductivity and elastic constant is extended to determine the critical behaviour of...
Stripe magnetic domains and lyotropic liquid crystals (1987)
A recent analogy between stripe domain structures of uniaxial magnetic garnet films and smectic liquid crystals is extended, using general energetic and symmetry considerations. The analogy is...
The random fuse network as a model of rupture in a disordered medium (1987)
Gilabert, A., Vanneste, C., Sornette, D., Guyon, E.
The rupture problem in a disordered system is investigated through numerical simulations and experiments in a discrete fusewire network. Statistical results on the current distribution and the...
Undulation instability in stripe domain structures of « bubble » material (1987)
Two-dimensional smectic-like patterns form spontaneously in garnet plates of bubble material. We use the smectic analogy to explain the origin of the topological hysteresis of these stripe domain...
Difference between lattice and continuum failure threshold in percolation (1987)
A scaling analysis introduced by Halperin, Feng and Sen to estimate critical exponents for the electrical conductivity and elastic constant is extended to determine the critical behaviour of...
Stripe magnetic domains and lyotropic liquid crystals (1987)
A recent analogy between stripe domain structures of uniaxial magnetic garnet films and smectic liquid crystals is extended, using general energetic and symmetry considerations. The analogy is...
The random fuse network as a model of rupture in a disordered medium (1987)
Gilabert, A., Vanneste, C., Sornette, D., Guyon, E.
The rupture problem in a disordered system is investigated through numerical simulations and experiments in a discrete fusewire network. Statistical results on the current distribution and the...
Undulation instability in stripe domain structures of « bubble » material (1987)
Two-dimensional smectic-like patterns form spontaneously in garnet plates of bubble material. We use the smectic analogy to explain the origin of the topological hysteresis of these stripe domain...
Difference between lattice and continuum failure threshold in percolation (1987)
A scaling analysis introduced by Halperin, Feng and Sen to estimate critical exponents for the electrical conductivity and elastic constant is extended to determine the critical behaviour of...
Stripe magnetic domains and lyotropic liquid crystals (1987)
A recent analogy between stripe domain structures of uniaxial magnetic garnet films and smectic liquid crystals is extended, using general energetic and symmetry considerations. The analogy is...
The random fuse network as a model of rupture in a disordered medium (1987)
Gilabert, A., Vanneste, C., Sornette, D., Guyon, E.
The rupture problem in a disordered system is investigated through numerical simulations and experiments in a discrete fusewire network. Statistical results on the current distribution and the...
Undulation instability in stripe domain structures of « bubble » material (1987)
Two-dimensional smectic-like patterns form spontaneously in garnet plates of bubble material. We use the smectic analogy to explain the origin of the topological hysteresis of these stripe domain...
Difference between lattice and continuum failure threshold in percolation (1987)
A scaling analysis introduced by Halperin, Feng and Sen to estimate critical exponents for the electrical conductivity and elastic constant is extended to determine the critical behaviour of...
Stripe magnetic domains and lyotropic liquid crystals (1987)
A recent analogy between stripe domain structures of uniaxial magnetic garnet films and smectic liquid crystals is extended, using general energetic and symmetry considerations. The analogy is...
The random fuse network as a model of rupture in a disordered medium (1987)
Gilabert, A., Vanneste, C., Sornette, D., Guyon, E.
The rupture problem in a disordered system is investigated through numerical simulations and experiments in a discrete fusewire network. Statistical results on the current distribution and the...
Undulation instability in stripe domain structures of « bubble » material (1987)
Two-dimensional smectic-like patterns form spontaneously in garnet plates of bubble material. We use the smectic analogy to explain the origin of the topological hysteresis of these stripe domain...
Difference between lattice and continuum failure threshold in percolation (1987)
A scaling analysis introduced by Halperin, Feng and Sen to estimate critical exponents for the electrical conductivity and elastic constant is extended to determine the critical behaviour of...
Stripe magnetic domains and lyotropic liquid crystals (1987)
A recent analogy between stripe domain structures of uniaxial magnetic garnet films and smectic liquid crystals is extended, using general energetic and symmetry considerations. The analogy is...
The random fuse network as a model of rupture in a disordered medium (1987)
Gilabert, A., Vanneste, C., Sornette, D., Guyon, E.
The rupture problem in a disordered system is investigated through numerical simulations and experiments in a discrete fusewire network. Statistical results on the current distribution and the...
Undulation instability in stripe domain structures of « bubble » material (1987)
Two-dimensional smectic-like patterns form spontaneously in garnet plates of bubble material. We use the smectic analogy to explain the origin of the topological hysteresis of these stripe domain...
Difference between lattice and continuum failure threshold in percolation (1987)
A scaling analysis introduced by Halperin, Feng and Sen to estimate critical exponents for the electrical conductivity and elastic constant is extended to determine the critical behaviour of...
Stripe magnetic domains and lyotropic liquid crystals (1987)
A recent analogy between stripe domain structures of uniaxial magnetic garnet films and smectic liquid crystals is extended, using general energetic and symmetry considerations. The analogy is...
The random fuse network as a model of rupture in a disordered medium (1987)
Gilabert, A., Vanneste, C., Sornette, D., Guyon, E.
The rupture problem in a disordered system is investigated through numerical simulations and experiments in a discrete fusewire network. Statistical results on the current distribution and the...
Undulation instability in stripe domain structures of « bubble » material (1987)
Two-dimensional smectic-like patterns form spontaneously in garnet plates of bubble material. We use the smectic analogy to explain the origin of the topological hysteresis of these stripe domain...
Approach tq complete wetting in 4He-3He binary liquid mixtures (1986)
We reanalyse an experimental work, including some unpublished results, on the adsorption of 4He atoms on a substrate in a 4He- 3He mixture. We verify with remarkable accuracy the powerlaw dependence...
Interface fluctuations and stratification in 3He-4He mixture films (1986)
Laheurte, J.P., Noiray, J.C., Romagnan, J.P., Sornette, D.
Starting from the stratified state induced by the substrate Van der Waals field, we develop a phenomenological model for « thin » mixture films in terms of a multilayer description. Introducing...
Approach tq complete wetting in 4He-3He binary liquid mixtures (1986)
We reanalyse an experimental work, including some unpublished results, on the adsorption of 4He atoms on a substrate in a 4He- 3He mixture. We verify with remarkable accuracy the powerlaw dependence...
Interface fluctuations and stratification in 3He-4He mixture films (1986)
Laheurte, J.P., Noiray, J.C., Romagnan, J.P., Sornette, D.
Starting from the stratified state induced by the substrate Van der Waals field, we develop a phenomenological model for « thin » mixture films in terms of a multilayer description. Introducing...
Approach tq complete wetting in 4He-3He binary liquid mixtures (1986)
We reanalyse an experimental work, including some unpublished results, on the adsorption of 4He atoms on a substrate in a 4He- 3He mixture. We verify with remarkable accuracy the powerlaw dependence...
Interface fluctuations and stratification in 3He-4He mixture films (1986)
Laheurte, J.P., Noiray, J.C., Romagnan, J.P., Sornette, D.
Starting from the stratified state induced by the substrate Van der Waals field, we develop a phenomenological model for « thin » mixture films in terms of a multilayer description. Introducing...
Approach tq complete wetting in 4He-3He binary liquid mixtures (1986)
We reanalyse an experimental work, including some unpublished results, on the adsorption of 4He atoms on a substrate in a 4He- 3He mixture. We verify with remarkable accuracy the powerlaw dependence...
Interface fluctuations and stratification in 3He-4He mixture films (1986)
Laheurte, J.P., Noiray, J.C., Romagnan, J.P., Sornette, D.
Starting from the stratified state induced by the substrate Van der Waals field, we develop a phenomenological model for « thin » mixture films in terms of a multilayer description. Introducing...
Approach tq complete wetting in 4He-3He binary liquid mixtures (1986)
We reanalyse an experimental work, including some unpublished results, on the adsorption of 4He atoms on a substrate in a 4He- 3He mixture. We verify with remarkable accuracy the powerlaw dependence...
Interface fluctuations and stratification in 3He-4He mixture films (1986)
Laheurte, J.P., Noiray, J.C., Romagnan, J.P., Sornette, D.
Starting from the stratified state induced by the substrate Van der Waals field, we develop a phenomenological model for « thin » mixture films in terms of a multilayer description. Introducing...
Approach tq complete wetting in 4He-3He binary liquid mixtures (1986)
We reanalyse an experimental work, including some unpublished results, on the adsorption of 4He atoms on a substrate in a 4He- 3He mixture. We verify with remarkable accuracy the powerlaw dependence...
Interface fluctuations and stratification in 3He-4He mixture films (1986)
Laheurte, J.P., Noiray, J.C., Romagnan, J.P., Sornette, D.
Starting from the stratified state induced by the substrate Van der Waals field, we develop a phenomenological model for « thin » mixture films in terms of a multilayer description. Introducing...
The interdependence of intra-aggregate and inter-aggregate forces (1985)
Israelachvili, J.N., Sornette, D.
We examine the interdependence between forces responsible for the self-association of amphiphiles in aggregates such as micelles, microemulsions and bilayers and the forces occurring between such...
The interdependence of intra-aggregate and inter-aggregate forces (1985)
Israelachvili, J.N., Sornette, D.
We examine the interdependence between forces responsible for the self-association of amphiphiles in aggregates such as micelles, microemulsions and bilayers and the forces occurring between such...
The interdependence of intra-aggregate and inter-aggregate forces (1985)
Israelachvili, J.N., Sornette, D.
We examine the interdependence between forces responsible for the self-association of amphiphiles in aggregates such as micelles, microemulsions and bilayers and the forces occurring between such...
The interdependence of intra-aggregate and inter-aggregate forces (1985)
Israelachvili, J.N., Sornette, D.
We examine the interdependence between forces responsible for the self-association of amphiphiles in aggregates such as micelles, microemulsions and bilayers and the forces occurring between such...
The interdependence of intra-aggregate and inter-aggregate forces (1985)
Israelachvili, J.N., Sornette, D.
We examine the interdependence between forces responsible for the self-association of amphiphiles in aggregates such as micelles, microemulsions and bilayers and the forces occurring between such...
The interdependence of intra-aggregate and inter-aggregate forces (1985)
Israelachvili, J.N., Sornette, D.
We examine the interdependence between forces responsible for the self-association of amphiphiles in aggregates such as micelles, microemulsions and bilayers and the forces occurring between such...
Chaos, pseudo-random number generators and the random walk problem (1984)
To test the nature of the deterministic chaos generated by the iteration of discrete dynamical systems, we perform Monte-Carlo random walk experiments on a one-dimensional periodic lattice with a...
Repulsive steric interaction between membranes of finite size, (1984)
Helfrich's study of the steric interaction of undulating infinite membranes is extended to the case of finite size (L) bilayers by introducing an infrared cutoff for the wavevectors of the...
Chaos, pseudo-random number generators and the random walk problem (1984)
To test the nature of the deterministic chaos generated by the iteration of discrete dynamical systems, we perform Monte-Carlo random walk experiments on a one-dimensional periodic lattice with a...
Repulsive steric interaction between membranes of finite size, (1984)
Helfrich's study of the steric interaction of undulating infinite membranes is extended to the case of finite size (L) bilayers by introducing an infrared cutoff for the wavevectors of the...
Chaos, pseudo-random number generators and the random walk problem (1984)
To test the nature of the deterministic chaos generated by the iteration of discrete dynamical systems, we perform Monte-Carlo random walk experiments on a one-dimensional periodic lattice with a...
Repulsive steric interaction between membranes of finite size, (1984)
Helfrich's study of the steric interaction of undulating infinite membranes is extended to the case of finite size (L) bilayers by introducing an infrared cutoff for the wavevectors of the...
Chaos, pseudo-random number generators and the random walk problem (1984)
To test the nature of the deterministic chaos generated by the iteration of discrete dynamical systems, we perform Monte-Carlo random walk experiments on a one-dimensional periodic lattice with a...
Repulsive steric interaction between membranes of finite size, (1984)
Helfrich's study of the steric interaction of undulating infinite membranes is extended to the case of finite size (L) bilayers by introducing an infrared cutoff for the wavevectors of the...
Chaos, pseudo-random number generators and the random walk problem (1984)
To test the nature of the deterministic chaos generated by the iteration of discrete dynamical systems, we perform Monte-Carlo random walk experiments on a one-dimensional periodic lattice with a...
Repulsive steric interaction between membranes of finite size, (1984)
Helfrich's study of the steric interaction of undulating infinite membranes is extended to the case of finite size (L) bilayers by introducing an infrared cutoff for the wavevectors of the...
Chaos, pseudo-random number generators and the random walk problem (1984)
To test the nature of the deterministic chaos generated by the iteration of discrete dynamical systems, we perform Monte-Carlo random walk experiments on a one-dimensional periodic lattice with a...
Repulsive steric interaction between membranes of finite size, (1984)
Helfrich's study of the steric interaction of undulating infinite membranes is extended to the case of finite size (L) bilayers by introducing an infrared cutoff for the wavevectors of the...
Positive feedback, memory, and the predictability of earthquakes
We review the “critical point” concept for large earthquakes and enlarge it in the framework of so-called “finite-time singularities.” The singular behavior associated with accelerated...
Positive feedback, memory, and the predictability of earthquakes
We review the “critical point” concept for large earthquakes and enlarge it in the framework of so-called “finite-time singularities.” The singular behavior associated with accelerated...
Discrete hierarchical organization of social group sizes
Sornette, D., Hill, R. A., Dunbar, R. I. M.
The ‘social brain hypothesis’ for the evolution of large brains in primates has led to evidence for the coevolution of neocortical size and social group sizes, suggesting that there is a...
Algorithm for model validation: Theory and applications
Sornette, D., Davis, A. B., Ide, K., Vixie, K. R., Pisarenko, V., Kamm, J. R.
Validation is often defined as the process of determining the degree to which a model is an accurate representation of the real world from the perspective of its intended uses. Validation is crucial...
Slider-Block Friction Model for Landslides: Application to Vaiont and Laclapière Landslides
D.Sornette, J.V. Andersen, A. Helmstetter, S.Gluzman, J.R.Grasso, V. Pisarenko
Towards Landslide Predictions: Two Case Studies
D.Sornette, J.V. Andersen, A. Helmstetter, S.Gluzman, J.R.Grasso, V. Pisarenko
"Nonlinear" covariance matrix and portfolio theory for non-Gaussian multivariate distributions
D. Sornette, P. Simonetti, J.V. Andersen
This paper offers a precise analytical characterization of the distribution of returns for a portfolio constituted of assets whose returns are described by an arbitrary joint multivariate...
Testing the Gaussian Copula Hypothesis for Financial Assets Dependences
Using one of the key property of copulas that they remain invariant under an arbitrary monotonous change of variable, we investigate the null hypothesis that the dependence between financial assets...
The US 2000-2002 market descent: how much longer and deeper?
A remarkable similarity in the behaviour of the US S&P500 index from 1996 to August 2002 and of the Japanese Nikkei index from 1985 to 1992 (11 year shift) is presented, with particular emphasis on...
Y. Malevergne, V. Pisarenko, D. Sornette
Using synthetic tests performed on time series with time dependence in the volatility with both Pareto and Stretched-Exponential distributions, it is shown that for samples of moderate sizes the...
Anomalous Returns in a Neural Network Equity-Ranking Predictor
Using an artificial neural network (ANN), a fixed universe of ~1500 equities from the Value Line index are rank-ordered by their predicted price changes over the next quarter. Inputs to the network...
``String'' formulation of the Dynamics of the Forward Interest Rate Curve
We propose a formulation of the term structure of interest rates in which the forward curve is seen as the deformation of a string. We derive the general condition that the partial differential...
Tail Dependence of Factor Models
Using the framework of factor models, we establish the general expression of the coefficient of tail dependence between the market and a stock (i.e., the probability that the stock incurs a large...
Endogeneous Versus Exogeneous Shocks in Systems with Memory
Systems with long-range persistence and memory are shown to exhibit different precursory as well as recovery patterns in response to shocks of exogeneous versus endogeneous origins. By endogeneous,...
A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes
In the standard equilibrium and/or arbitrage pricing framework, the value of any asset is uniquely specified from the belief that only the systematic risks need to be remunerated by the market. Here,...
Volatility fingerprints of large shocks: Endogeneous versus exogeneous
D. Sornette, Y. Malevergne, J. F. Muzy
Finance is about how the continuous stream of news gets incorporated into prices. But not all news have the same impact. Can one distinguish the effects of the Sept. 11, 2001 attack or of the coup...
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. For this, we...
We document and analyze the empirical facts concerning one of the clearest evidence of speculation in financial trading as observed in the postage collection stamp market. We unravel some of the...
Based on a recent theorem due to the authors, it is shown how the extreme tail dependence between an asset and a factor or index or between two assets can be easily calibrated. Portfolios constructed...
Fundamental Framework for Technical Analysis
J. V. Andersen, S. Gluzman, D. Sornette
Starting from the characterization of the past time evolution of market prices in terms of two fundamental indicators, price velocity and price acceleration, we construct a general classification of...
Causal cascade in the stock market from the ``infrared'' to the ``ultraviolet''
Modelling accurately financial price variations is an essential step underlying portfolio allocation optimization, derivative pricing and hedging, fund management and trading. The observed complex...
Illusory versus Genuine Control in Agent-Based Games
In the Minority, Majority and Dollar Games (MG, MAJG, $G), synthetic agents compete for rewards, at each time-step acting in accord with the previously best-performing of their limited sets of...
The Chinese Equity Bubble: Ready to Burst
K. Bastiaensen, P. Cauwels, D. Sornette, R. Woodard
Amid the current financial crisis, there has been one equity index beating all others: the Shanghai Composite. Our analysis of this main Chinese equity index shows clear signatures of a bubble build...
Economy of scales in R&D with block-busters
Are large scale research programs that include many projects more productive than smaller ones with fewer projects? This problem of economy of scale is particularly relevant for understanding recent...
Anomalous Returns in a Neural Network Equity-Ranking Predictor
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 quarter. Inputs to...
Investigating Extreme Dependences: Concepts and Tools
We investigate the relative information content of six measures of dependence between two random variables $X$ and $Y$ for large or extreme events for several models of interest for financial time...
Increments of Uncorrelated Time Series Can Be Predicted With a Universal 75% Probability of Success
We present a simple and general result that the sign of the variations or increments of uncorrelated times series are predictable with a remarkably high success probability of 75% for symmetric sign...
Financial ``Anti-Bubbles'': Log-Periodicity in Gold and Nikkei collapses
We propose that imitation between traders and their herding behaviour not only lead to speculative bubbles with accelerating over-valuations of financial markets possibly followed by crashes, but...
On Rational Bubbles and Fat Tails
This paper addresses the statistical properties of time series driven by rational bubbles a la Blanchard and Watson (1982), corresponding to multiplicative maps, whose study has recently be revived...
Testing the Stability of the 2000-2003 US Stock Market "Antibubble"
Since August 2000, the stock market in the USA as well as most other western markets have depreciated almost in synchrony according to complex patterns of drops and local rebounds. In \cite{SZ02QF},...
We propose a straightforward extension of our previously proposed log-periodic power law model of the ``anti-bubble'' regime of the USA market since the summer of 2000, in terms of the...
"Nonlinear" covariance matrix and portfolio theory for non-Gaussian multivariate distributions
D. Sornette, P. Simonetti, J. V. Andersen
This paper offers a precise analytical characterization of the distribution of returns for a portfolio constituted of assets whose returns are described by an arbitrary joint multivariate...
Evidence of a Worldwide Stock Market Log-Periodic Anti-Bubble Since Mid-2000
Following our previous investigation of the USA Standard and Poor index anti-bubble that started in August 2000, we analyze thirty eight world stock market indices and identify 21 anti-bubble. An...
"Thermometers" of Speculative Frenzy
Establishing unambiguously the existence of speculative bubbles is an on-going controversy complicated by the need of defining a model of fundamental prices. Here, we present a novel empirical method...
Self-Consistent Asset Pricing Models
We discuss the foundations of factor or regression models in the light of the self-consistency condition that the market portfolio (and more generally the risk factors) is (are) constituted of the...
General framework for a portfolio theory with non-Gaussian risks and non-linear correlations
Using a family of modified Weibull distributions, encompassing both sub-exponentials and super-exponentials, to parameterize the marginal distributions of asset returns and their natural multivariate...
From Rational Bubbles to Crashes
We study and generalize in various ways the model of rational expectation (RE) bubbles introduced by Blanchard and Watson in the economic literature. First, bubbles are argued to be the equivalent of...
We extend the model of rational bubbles of Blanchard and of Blanchard and Watson to arbitrary dimensions d: a number d of market time series are made linearly interdependent via d times d stochastic...
Minimizing volatility increases large risks
D. Sornette, J. V. Andersen, P. Simonetti
We introduce a faithful representation of the heavy tail multivariate distribution of asset returns, as parsimonous as the Gaussian framework. Using calculation techniques of functional integration...
Theory of Zipf's Law and of General Power Law Distributions with Gibrat's law of Proportional Growth
A. Saichev, Y. Malevergne, D. Sornette
We summarize a book under publication with his title written by the three present authors, on the theory of Zipf's law, and more generally of power laws, driven by the mechanism of proportional...
Stock Market Speculation: Spontaneous Symmetry Breaking of Economic Valuation
Firm foundation theory estimates a security's firm fundamental value based on four determinants: expected growth rate, expected dividend payout, the market interest rate and the degree of risk. In...
Some problems with the recent stimulating proposal of a ``Gauge Theory of Finance'' by Ilinski and collaborators are outlined. First, the derivation of the log-normal distribution is shown equivalent...
"Slimming" of power law tails by increasing market returns
We introduce a simple generalization of rational bubble models which removes the fundamental problem discovered by [Lux and Sornette, 1999] that the distribution of returns is a power law with...
Trust! Why it Has Been Lost and How to Regain It
This essay suggests that a proper assessment of the presently unfolding financial crisis, and its cure, requires going back at least to the late 1990s, accounting for the cumulative effect of the...
Bubble, Critical Zone and the Crash of Royal Ahold
Our analysis of financial data, in terms of super-exponential growth, suggests that the seed of the 2002/03 crisis of the Dutch supermarket giant AHOLD was planted in 1996. It became quite visible in...
We introduce a novel non-parametric methodology to test for the dynamical time evolution of the lag-lead structure between two arbitrary time series. The method consists in constructing a distance...
Fokker-Planck equation of distributions of financial returns and power laws
Our purpose is to relate the Fokker-Planck formalism proposed by [Friedrich et al., Phys. Rev. Lett. 84, 5224 (2000)] for the distribution of stock market returns to the empirically well-established...
Using the descriptive method of log-periodic power laws (LPPL) based on a theory of behavioral herding, we use a battery of parametric and non-parametric tests to demonstrate the existence of an...
Significance of log-periodic precursors to financial crashes
We clarify the status of log-periodicity associated with speculative bubbles preceding financial crashes. In particular, we address Feigenbaum's [2001] criticism and show how it can be rebuked....
The Donation-Payment Gift Card Concept: how to give twice with one card
Standard economic theory, starting with Adam Smith's invisible hand, holds that those who trade for their own selfish motives of maximizing their private preferences may contribute more to the public...
Through simple analytical calculations and numerical simulations, we demonstrate the generic existence of a self-organized macroscopic state in any large multivariate system possessing non-vanishing...
Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?
Y. Malevergne, V. F. Pisarenko, D. Sornette
A large consensus now seems to take for granted that the distributions of empirical returns of financial time series are regularly varying, with a tail exponent close to 3. We revisit this results...
The US 2000-2002 Market Descent: How Much Longer and Deeper?
A remarkable similarity in the behavior of the US S&P500 index from 1996 to August 2002 and of the Japanese Nikkei index from 1985 to 1992 (11 years shift) is presented, with particular emphasis on...
Have your cake and eat it too: increasing returns while lowering large risks!
Based on a faithful representation of the heavy tail multivariate distribution of asset returns introduced previously (Sornette et al., 1998, 1999) that we extend to the case of asymmetric return...
New statistic for financial return distributions: power-law or exponential?
We introduce a new statistical tool (the TP-statistic and TE-statistic) designed specifically to compare the behavior of the sample tail of distributions with power-law and exponential tails as a...
Testing the Gaussian Copula Hypothesis for Financial Assets Dependences
Using one of the key property of copulas that they remain invariant under an arbitrary monotonous change of variable, we investigate the null hypothesis that the dependence between financial assets...
This review is a partial synthesis of the book ``Why stock market crash'' (Princeton University Press, January 2003), which presents a general theory of financial crashes and of stock market...
Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos
A. Corcos, A. Malaspinas, Y. Malevergne, D. Sornette
Imitative and contrarian behaviors are the two typical opposite attitudes of investors in stock markets. We introduce a simple model to investigate their interplay in a stock market where agents can...
Endogenous versus Exogenous Crashes in Financial Markets
We perform an extended analysis of the distribution of drawdowns in the two leading exchange markets (US dollar against the Deutsmark and against the Yen), in the major world stock markets, in the...
Market Fluctuations: multiplicative and percolation models, size effects and predictions
D. Sornette, D. Stauffer, H. Takayasu
We present a set of models of the main stylized facts of market price fluctuations. These models comprise dynamical evolution with threshold dynamics and Langevin price equation with multiplicative...
Properties of a simple bilinear stochastic model: estimation and predictability
We analyze the properties of arguably the simplest bilinear stochastic multiplicative process, proposed as a model of financial returns and of other complex systems combining both nonlinearity and...
Antibubble and Prediction of China's stock market and Real-Estate
We document a well-developed log-periodic power-law antibubble in China's stock market, which started in August 2001. We argue that the current stock market antibubble is sustained by a contemporary...
Nonlinear Dynamical Model of Regime Switching Between Conventions and Business Cycles
V. I. Yukalov, D. Sornette, E. P. Yukalova
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and...
Econophysics: historical perspectives
Econophysics embodies the recent upsurge of interest by physicists into financial economics, driven by the availability of large amount of data, job shortage in physics and the possibility of...
Stock market crashes are outliers
We call attention against what seems to a widely held misconception according to which large crashes are the largest events of distributions of price variations with fat tails. We demonstrate on the...
Previous analyses of a large ensemble of stock markets have demonstrated that a log-periodic power law (LPPL) behavior of the prices constitutes a qualifying signature of speculative bubbles that...
2000-2003 Real Estate Bubble in the UK but not in the USA
In the aftermath of the burst of the ``new economy'' bubble in 2000, the Federal Reserve aggressively reduced short-term rates yields in less than two years from 6.5% to 1.25% in an attempt to coax...
We present a simple agent-based model to study how the proximate triggering factor of a crash or a rally might relate to its fundamental mechanism, and vice versa. Our agents form opinions and...
Finite-Time Singularity Signature of Hyperinflation
We present a novel analysis extending the recent work of Mizuno et al. [2002] on the hyperinflations of Germany (1920/1/1-1923/11/1), Hungary (1945/4/30-1946/7/15), Brazil (1969-1994), Israel...
Predictability of large future changes in major financial indices
We present a systematic algorithm testing for the existence of collective self-organization in the behavior of agents in social systems, with a concrete empirical implementation on the Dow Jones...
Interdisciplinarity in Socio-economics, mathematical analysis and predictability of complex systems
In this essay, I attempt to provide supporting evidence as well as some balance for the thesis on `Transforming socio-economics with a new epistemology' presented by Hollingworth and Mueller (2008)....
Fearless versus Fearful Speculative Financial Bubbles
Using a recently introduced rational expectation model of bubbles, based on the interplay between stochasticity and positive feedbacks of prices on returns and volatility, we develop a new...
The 2006-2008 Oil Bubble and Beyond
We present an analysis of oil prices in US$ and in other major currencies that diagnoses unsustainable faster-than-exponential behavior. This supports the hypothesis that the recent oil price run-up...
Using a family of modified Weibull distributions, encompassing both sub-exponentials and super-exponentials, to parameterize the marginal distributions of asset returns and their multivariate...
A Consistent Model of `Explosive' Financial Bubbles With Mean-Reversing Residuals
We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process and a stochastic conditional return which reflects nonlinear positive feedbacks...
The sharp peak-flat trough pattern and critical speculation
We find empirically a characteristic sharp peak-flat trough pattern in a large set of commodity prices. We argue that the sharp peak structure reflects an endogenous inter-market organization, and...
The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks
This paper offers a new class of models of the term structure of interest rates. We allow each instantaneous forward rate to be driven by a different stochastic shock, constrained in such a way as to...
We introduce a new set of consistent measures of risks, in terms of the semi-invariants of pdf's, such that the centered moments and the cumulants of the portfolio distribution of returns that put...
A Nonlinear Super-Exponential Rational Model of Speculative Financial Bubbles
Keeping a basic tenet of economic theory, rational expectations, we model the nonlinear positive feedback between agents in the stock market as an interplay between nonlinearity and multiplicative...
Episodes of market crashes have fascinated economists for centuries. Although many academics, practitioners and policy makers have studied questions related to collapsing asset price bubbles, there...
Multifractal returns and Hierarchical Portfolio Theory
D. Sornette, J. Delour, A. Arneodo
We extend and test empirically the multifractal model of asset returns based on a multiplicative cascade of volatilities from large to small time scales. The multifractal description of asset...
The US 2000-2003 Market Descent: Clarifications
In a recent comment (Johansen A 2003 An alternative view, Quant. Finance 3: C6-C7, cond-mat/0302141), Anders Johansen has criticized our methodology and has questioned several of our results...
Nonlinear dynamical model of regime switching between conventions and business cycles
Yukalov, V.I., Sornette, D., Yukalova, E.P.
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and...
Gibrat’s law for cities: uniformly most powerful unbiased test of the Pareto against the lognormal
Y. MALEVERGNE, V. PISARENKO, D. SORNETTE
We provide definitive results to close the debate between Eeckhout (2004, 2009) and Levy (2009) on the validity of Zipf’s law, which is the special Pareto law with tail exponent 1, to describe the...
Dragon-Kings, Black Swans and the Prediction of Crises
We develop the concept of “dragon-kings†corresponding to meaningful outliers, which are found to coexist with power laws in the distributions of event sizes under a broad range of...
A Consistent Model of `Explosive' Financial Bubbles With Mean-Reversing Residuals
We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process and a stochastic conditional return which reflects nonlinear positive feedbacks...
Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis
The financial crisis of 2008, which started with an initially well-defined epicenter focused on mortgage backed securities (MBS), has been cascading into a global economic recession, whose increasing...
Punctuated Evolution due to Delayed Carrying Capacity
V.I. Yukalov, E.P. Yukalova, D. Sornette
A new delay equation is introduced to describe the punctuated evolution of complex nonlinear systems. A detailed analytical and numerical investigation provides the classification of all possible...
Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles
D. Sornette, Zhi-Qiang Jiang, Wei-Xing Zhou, Ryan Woodard, Ken Bastiaensen, Peter Cauwels
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii) the mathematical and statistical physics of...
Most Efficient Homogeneous Volatility Estimators
D. Sornette, A. Saichev, V. Filimonov
We present a new theory of homogeneous volatility (and variance) estimators for arbitrary stochastic processes. The main tool of our theory is the parsimonious encoding of all the information...
Dragon-Kings, Black Swans and the Prediction of Crises
We develop the concept of ``dragon-kings'' corresponding to meaningful outliers, which are found to coexist with power laws in the distributions of event sizes under a broad range of conditions in a...
Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles
Zhi-Qiang Jiang, Wei-Xing Zhou, D. Sornette, Ryan Woodard, Ken Bastiaensen, Peter Cauwels
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii) the mathematical and statistical physics of...
A Consistent Model of `Explosive' Financial Bubbles With Mean-Reversing Residuals
We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process and a stochastic conditional return which reflects nonlinear positive feedbacks...
Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis
The financial crisis of 2008, which started with an initially well-defined epicenter focused on mortgage backed securities (MBS), has been cascading into a global economic recession, whose increasing...
Most Efficient Homogeneous Volatility Estimators
A. Saichev, D. Sornette, V. Filimonov
We present a new theory of homogeneous volatility (and variance) estimators for arbitrary stochastic processes. The main tool of our theory is the parsimonious encoding of all the information...
Punctuated Evolution due to Delayed Carrying Capacity
V.I. Yukalov, E.P. Yukalova, D. Sornette
A new delay equation is introduced to describe the punctuated evolution of complex nonlinear systems. A detailed analytical and numerical investigation provides the classification of all possible...
Reverse Engineering Financial Markets with Majority and Minority Games using Genetic Algorithms
J. Wiesinger, D. Sornette, J. Satinover
Using virtual stock markets with artificial interacting software investors, aka agent-based models (ABMs), we present a method to reverse engineer real-world financial time series. We model financial...