N°15-33: Constrained Random Walk Models for Euro/Swiss Franc Exchange Rates: Theory and Empirics, S. Lera and D. Sornette, 2015.
D. Sornette, S. Lera
Working Papers
9 April 2015
N°15-32: Outperforming Naive Diversification Using Stock Level Information, T. Berrada and S. Coupy, 2015.
T. Berrada, S. Coupy
Working Papers
8 April 2015
N°15-31: Real-Time Prediction and Post-Mortem Analysis of the Shanghai 2015 Stock Market Bubble and Crash, P. Cauwels, G. Demos, V. Filimonov, D. Sornette, Qun Zhang, and Qunzhi Zhang, 2015.
D. Sornette, P. Cauwels, G. Demos, V. Filimonov, Qun Zhang, and Qunzhi Zhang
Working Papers
5 April 2015
N°15-30: The Acceleration Effect and Gamma Factor in Asset Pricing, D. Ardila-Alvarez, Z. Forro, and D. Sornette, 2015.
D. Sornette, D. Ardila-Alvarez, Z. Forro
Working Papers
1 April 2015
N°15-29: Size and Momentum Profitability in International Stock Markets, P. Schmidt, A. Schrimpf, U. Von Arx, A. F. Wagner, and A. Ziegler, 2015.
A. Wagner, A. Schrimpf, U. Von Arx and A. Ziegler
Working Papers
27 March 2015
N°15-28: Multiple Outlier Detection in Samples with Exponential & Pareto Tails: Redeeming the Inward Approach & Detecting Dragon Kings, D. Sornette and S. Wheatley, 2015.
D. Sornette, S. Wheatley
Working Papers
20 March 2015
N°15-27: Sensitivity of Optimal Consumption Streams, M. Herdegen and J. Muhle-Karbe, 2015.
M. Herdegen and J. Muhle-Karbe
Working Papers
19 March 2015
N°15-26: Consistent Re-Calibration in Yield Curve Modeling: An Example, M. Wüthrich, 2015.
M. Wüthrich
Working Papers
17 March 2015
N°15-25: Does Market Irrationality in the Media Affect Stock Returns?, R. Gibson Brandon, C. Hemmens, and M. Trépanier, 2015.
R. Gibson Brandon, C. Hemmens, and M. Trépanier
Working Papers
14 March 2015
N°15-24: Collateralization, Leverage, and Stressed Expected Loss, E. Jondeau and A. Khalilzadez, 2015.
E. Jondeau, A. Khalilzadez
Working Papers
11 March 2015
N°15-23: High-Frequency Trading in Limit Order Markets: Equilibrium Impact and Regulation, J. Rojcek and A. Ziegler, 2015.
J. Rojcek and A. Ziegler
Working Papers
10 March 2015
N°15-22: Nonparametric Empirical Evidence for Krugman’s Target Zone Model, S. C. Lera and D. Sornette, 2015.
D. Sornette, S. C. Lera
Working Papers
9 March 2015
N°15-21: Agency Conflicts Around the World, E. Morellec, B. Nikolov, and N. Schürhoff, 2015
E. Morellec, B. Nikolov, N. Schürhoff
Working Papers
5 March 2015
N°15-20: Uniqueness of Equilibrium in a Payment System with Liquidation Costs, H. Amini, D. Filipovic, and A. Mincaz, 0215.
D. Filipović, H. Amini and A. Mincaz
Working Papers
1 March 2015
N°10-18: Managerial Incentives to Take Asset Risk
A. Wagner, M. Chesney, J. Stromberg, V. Wolff
Working Papers
1 March 2015