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Short term prediction of extreme returns based on the recurrence interval analysis
Jiang, Zhi-Qiang; Wang, Gang-Jin; Canabarro, Askery; … - In: Quantitative finance 18 (2018) 3, pp. 353-370
Persistent link: https://www.econbiz.de/10011906380
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Computational experiments successfully predict the emergence of autocorrelations in ultra-high-frequency stock returns
Zhou, Jian; Gu, Gao-Feng; Jiang, Zhi-Qiang; Xiong, Xiong; … - In: Computational economics 50 (2017) 4, pp. 579-594
Persistent link: https://www.econbiz.de/10011783456
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Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model
Sornette, Didier - 2013
The Johansen-Ledoit-Sornette (JLS) model of rational expectation bubbles with finite-time singular crash hazard rates has been developed to describe the dynamics of financial bubbles and crashes. It has been applied successfully to a large variety of financial bubbles in many different markets....
Persistent link: https://www.econbiz.de/10013089336
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Clarifications to questions and criticisms on the Johansen-Ledoit-Sornette bubble model
Sornette, Didier; Woodard, Ryan; Yan, Wanfeng; Zhou, … - 2011
The Johansen-Ledoit-Sornette (JLS) model of rational expectation bubbles with finite-time singular crash hazard rates has been developed to describe the dynamics of financial bubbles and crashes. It has been applied successfully to a large variety of financial bubbles in many different markets....
Persistent link: https://www.econbiz.de/10009273112
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Predictability of large future changes in major financial indices
Sornette, Didier; Zhou, Wei-Xing - In: International journal of forecasting 22 (2006) 1, pp. 153-168
Persistent link: https://www.econbiz.de/10003283968
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A weekly sentiment index and the cross-section of stock returns
Xu, Hai-Chuan; Zhou, Wei-Xing - In: Finance research letters 27 (2018), pp. 135-139
Persistent link: https://www.econbiz.de/10012006762