相关论文: Comment on "Are financial crashes predictable?"

This is a Reply to the Comment of S.R. White and D.J. Scalapino [cond-mat/9907243] on our recent paper ``Stripes and the t-J Model'' [Physical Review Letters 83, 132 (1999) and cond-mat/9812022].

This is a Comment on "Universal Fluctuations in Correlated Systems".

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…

This paper presents an exclusive classification of the largest crashes in Dow Jones Industrial Average (DJIA), SP500 and NASDAQ in the past century. Crashes are objectively defined as the top-rank filtered drawdowns (loss from the last…

Recently Carr and Wu (2004, 2005) and also Huang and Wu (2004) show that most stochastic processes used in traditional option pricing models can be cast as special cases of time-changed L\'evy processes. In particular these are models which…

Foreword to Michael Janas, Michael E. Cuffaro, Michel Janssen, Understanding Quantum Raffles. Quantum Mechanics on an Informational Approach: Structure and Theory (Boston Studies in the Philosophy and History of Science, 340) (Springer,…

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 published in [Sornette D and Zhou W-X 2002 The US…

We reply to Tsallis' Comment on our "Nonadditive Entropies Yield Probability Distributions with Biases not Warranted by the Data" which first appeared in PRL.

We develop a strong diagnostic for bubbles and crashes in bitcoin, by analyzing the coincidence (and its absence) of fundamental and technical indicators. Using a generalized Metcalfe's law based on network properties, a fundamental value…

This paper is a Comment on Phys. Rev. Lett. 85, 1516 (2000) by A.V. Uskov, A.-P. Jauho, B. Tromborg, J. Mork, and R. Lang.

We present a synthesis of all the available empirical evidence in the light of recent theoretical developments for the existence of characteristic log-periodic signatures of growing bubbles in a variety of markets including 8 unrelated…

Discussion of "Is Bayes Posterior just Quick and Dirty Confidence?" by D. A. S. Fraser [arXiv:1112.5582].

Discussion of "Is Bayes Posterior just Quick and Dirty Confidence?" by D. A. S. Fraser [arXiv:1112.5582].

Answers to interview questions sent to a selected group of former physicists working in finance. The interview will be published as part of a Special Issue on Physics and Derivatives by The Journal of Derivatives in the second half of 2020.

Comment on M. Kataoka et al., Phys. Rev. Lett. 83, 160 (1999).

Correction to Annals of Probability 29 (2001) 1612--1624 [doi:10.1214/aop/1015345764].

Corrigenda to "$L^p$ estimates and asymptotic behavior for finite energy solutions of extremals to Hardy-Sobolev inequalities", Trans. Amer. Math. Soc. 363 (2011), no. 1, 37--62.

Some personal thoughts on Sklar's theorem and copulas after reading the original paper (Sklar, 1959) in French.

This manuscript is a comment about a published article in PRL 129, 053201 (2022) by J. Minguzzi et al.

A Comment on the paper "Conservative Quantum Computing" by M. Ozawa, Phys. Rev. Lett. 89, 057902 (2002). The author replies in Phys. Rev. Lett. 91, 089802 (2003).