Didier Sornette

Didier Sornette
ETH Zurich | ETH Zürich

About

746
Publications
143,225
Reads
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33,032
Citations
Citations since 2016
64 Research Items
11736 Citations
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201620172018201920202021202205001,0001,500
201620172018201920202021202205001,0001,500
201620172018201920202021202205001,0001,500

Publications

Publications (746)
Article
Full-text available
The arguably most important paradox of financial economics—the excess volatility puzzle—first identified by Robert Shiller in 1981 states that asset prices fluctuate much more than information about their fundamental value. We show that this phenomenon is associated with an intrinsic propensity for financial markets to evolve towards instabilities....
Article
Full-text available
Fundamentally related to the ultraviolet (UV) divergence problem in Physics, conventional wisdom in statistical seismology is that the smallest earthquakes, which are numerous and often go undetected, dominate the triggering of major earthquakes, making accurate forecasting of the latter difficult if not inherently impossible. Using the general cla...
Article
Full-text available
We investigate the predictability and persistence of individual and team performance (hot-hand effect) by analyzing the complete recorded history of international cricket. We introduce an original temporal representation of performance streaks, which is suitable to be modelled as a self-exciting point process. We confirm the presence of predictabil...
Article
Full-text available
Notwithstanding a significant understanding of epidemic processes in biological, social, financial, and geophysical systems, little is known about contagion behavior in individual productivity and success. We introduce an epidemic model to study the contagion of scholarly productivity and YouTube success. Our analysis reveals the existence of synch...
Article
A network of agents is considered whose decision processes are described by the quantum decision theory previously advanced by the authors. Decision making is done by evaluating the utility of alternatives, their attractiveness, and the available information, whose combinations form the probabilities to choose a given alternative. As a result of th...
Preprint
Full-text available
Conventional wisdom in seismology is that the smallest earthquakes, which are numerous and often go undetected, dominate the triggering of major earthquakes, making accurate forecasting of the latter difficult if not inherently impossible. Here, we demonstrate that a significant fraction of large events is triggered by previous large events. Being...
Article
Full-text available
Motivated by learning from experience and exploiting existing knowledge in civil nuclear operations, we have developed in-house generic Probabilistic Safety Assessment (PSA) models for pressurized and boiling water reactors. The models are computationally light, handy, transparent, user-friendly, and easily adaptable to account for major plant-spec...
Article
We theoretically model and empirically quantify the feedback effect of delta hedging for the spot market volatility of the forex market. We start from an economy with two types of traders, an aggregated option market maker (OMM) and an aggregated option market taker (OMT), whose exposures reflect the total outstanding positions of all option trader...
Preprint
Full-text available
A network of agents is considered whose decision processes are described by the quantum decision theory previously advanced by the authors. Decision making is done by evaluating the utility of alternatives, their attractiveness, and the available information, whose combinations form the probabilities to choose a given alternative. As a result of th...
Article
It is widely held true that fundamental scientific knowledge has been accelerating exponentially over the past centuries and will continue to do so for the foreseeable future. Moreover, endogenous growth theory postulates that this exponential accumulation of knowledge is the main source of the ubiquitous exponential economic growth. We test these...
Article
There are several long-term statistical researches using the Molchan diagram (MD) to prove the relation between thermal infrared (TIR) anomalies and earthquakes in different regions, however, these studies are flawed: 1) the original MD is based on the spatially uniform Poisson model, but it will offer wrong evaluations for inhomog-enous systems wi...
Article
An autoregressive–moving-average (ARMA) point process model is introduced, which combines self-exciting and shot-noise cluster mechanisms, both useful in a variety of applications. The process is analogous to the ARMA for integer-valued time series, sharing methodological and mathematical similarities. A maximum likelihood estimation procedure, bas...
Preprint
Full-text available
Motivated by learning from experience and exploiting existing knowledge in civil nuclear operations, we have developed in-house generic PSA models for pressurized and boiling water reactors. The models are computationally light, handy, transparent, user-friendly, and easily adaptable to account for major plant-specific differences. They cover the c...
Article
Full-text available
In the first quarter of 2020, the COVID-19 pandemic brought the world to a state of paralysis. During this period, humanity saw by far the largest organized travel restrictions and unprecedented efforts and global coordination to contain the spread of the SARS-CoV-2 virus. Using large scale human mobility and fine grained epidemic incidence data, w...
Preprint
Full-text available
We investigate the predictability and persistence (hot-hand effect) of individual and team performance by analyzing the complete recorded history of international cricket. We introduce an original temporal representation of performance streaks, which is suitable to be modelled as a self-exciting point process. We confirm the presence of predictabil...
Preprint
Full-text available
We investigate the predictability and persistence (hot-hand effect) of individual and team performance by analyzing the complete recorded history of international cricket. We introduce an original temporal representation of performance streaks, which is suitable to be modelled as a self-exciting point process. We confirm the presence of predictabil...
Preprint
Full-text available
Despite a significant understanding of epidemic processes in biological, social, financial, and geophysical systems, little is known about the contagion behavior in individual productivity and success. Here we uncover synchronized bursts in individual productivity and success. We introduce an epidemic model to study the contagion of scholarly produ...
Article
Full-text available
We analyze a set of precursory data measured before but compiled in retrospect of the MS7.5 Haicheng earthquake in February 1975 and the MS7.6–7.8 Tangshan earthquake in July 1976. We propose a robust and simple coarse-graining method that aggregates and counts how all the anomalies together (levelling, geomagnetism, soil resistivity, earth current...
Article
Full-text available
We analyze the ETH Zurich open curated database of 1250 worldwide nuclear events focused on safety significance with potentials for precursors, presented in the companion paper. We find that major accidents always trigger a wave of “reactive” reporting as well as changes in regulatory or corporate management that last 5 to 6 years, mostly due to in...
Conference Paper
Full-text available
Nature is scary. You can be sitting at your home and next thing you know you are trapped under the ruble of your own house or sucked into a sinkhole. For millions of years we have been the figurines of this precarious scene and we have found our own ways of dealing with the anxiety. It is natural that we create and consume prophecies, conspiracies...
Preprint
Full-text available
Fundamentally related to the ultraviolet (UV) divergence problem in Physics, conventional wisdom in seismology is that the smallest earthquakes, which are numerous and often go undetected, dominate the triggering of major earthquakes, making accurate forecasting of the latter difficult if not inherently impossible. By developing a rigorous validati...
Article
The geodynamics and faulting mechanism of the M7.8 Tangshan earthquake (China, 28th July 1976) are re-examined within a framework of a transfer fault complex that has strike slip, thrust and normal faulting components. The locations of the faults are conditioned by the locations of the 30 largest shocks (M > 5) of the sequence from 28th July to 27t...
Presentation
Full-text available
This is the 2 minute pitch slide for the EGU 2021 Education and Outreach session (EOS 7.10), for the presentation "How prediction statistics can help us cope when we are shaken, scared and irrational". Watch the full presentation here: https://www.youtube.com/watch?v=So4c9GnfHi0 Read the abstract here: https://meetingorganizer.copernicus.org/EGU2...
Article
Full-text available
Seismicity and faulting within the Earth’s crust are characterized by many scaling laws that are usually interpreted as qualifying the existence of underlying physical mechanisms associated with some kind of criticality in the sense of phase transitions. Using an augmented epidemic-type aftershock sequence (ETAS) model that accounts for the spatial...
Preprint
Multi criteria decision analysis (MCDA) has been used to provide a holistic evaluation of the quality of 13 electricity generation technologies in use today. A group of 19 energy experts cast scores on a scale of 1 to 10 using 12 quality criteria, based around the pillars of sustainability (society, environment and economy), with the aim of quantif...
Article
Full-text available
Predictability of earthquakes has been vigorously debated in the last decades with the dominant -albeit contested -view being that earthquakes are inherently unpredictable. The absence of a framework to rigorously evaluate earthquake predictions has led to prediction efforts being viewed with scepticism. Consequently, funding for earthquake predict...
Article
Full-text available
We present rigorous tests of global short-term earthquake forecasts using Epidemic Type Aftershock Sequence models with two different time kernels (one with exponentially tapered Omori kernel (ETOK) and another with linear magnitude dependent Omori kernel (MDOK)). The tests are conducted with three different magnitude cutoffs for the auxiliary cata...
Article
Full-text available
We examine the precursory behavior of geoelectric signals before large earthquakes by means of a previously published algorithm including an alarm-based model and binary classification [H.-J. Chen, C.-C. Chen, Nat. Hazards 84, 877 (2016)]. The original method has been improved by removing a time parameter used for coarse-graining of earthquake occu...
Article
Full-text available
Recently, researchers have conducted long-term statistical studies to prove the correspondence between earthquakes and thermal infrared (TIR) anomalies. Upon obtaining relatively high true positive rates (TPR), it was concluded that TIR anomalies are closely related to earthquakes. However, the temporal-spatial clustering of earthquakes and overly...
Article
Full-text available
We introduce the first fully self-consistent numerical model combining seismic micro-ruptures, occurring within a generalized Burridge-Knopoff spring-block model, with the nucleation and propagation of electric charge pulses within a coupled mechano-electrokinetic system. This model provides a general theoretical framework for modeling and analyzin...
Article
Full-text available
In this paper we introduce a method for fault network reconstruction based on the 3D spatial distribution of seismicity. One of the major drawbacks of statistical earthquake models is their inability to account for the highly anisotropic distribution of seismicity. Fault reconstruction has been proposed as a pattern recognition method aiming to ext...
Preprint
Full-text available
We present rigorous tests of global short-term earthquake forecasts using Epidemic Type Aftershock Sequence models with two different time kernels (one with exponentially tapered Omori kernel (ETOK) and another with linear magnitude dependent Omori kernel (MDOK)). The tests are conducted with three different magnitude cutoffs for the auxiliary cata...
Preprint
Full-text available
Seismicity and faulting within the Earth crust are characterized by many scaling laws that are usually interpreted as qualifying the existence of underlying physical mechanisms associated with some kind of criticality in the sense of phase transitions. Using an augmented Epidemic-Type Aftershock Sequence (ETAS) model that accounts for the spatial v...
Article
Full-text available
Abstract Empirical investor networks (EIN) proposed by Ozsoylev et al. are assumed to capture the information spreading path among investors. Here, we perform a comparative analysis between the EIN and the cellphone communication networks (CN) to test whether EIN is an information exchanging network from the perspective of the layer structures of e...
Article
At odds with the common “rational expectations” framework for bubbles, economists like Hyman Minsky, Charles Kindleberger and Robert Shiller have documented that irrational behavior, ambiguous information or certain limits to arbitrage are essential drivers for bubble phenomena and financial crises. Following this understanding that asset price bub...
Article
We report strong evidence that changes of momentum, i.e. “acceleration”, defined as the first difference of successive returns, is a novel effect complementing momentum of stock returns. Γ-strategies based on the “acceleration” effect are on average quite profitable and beat momentum-based strategies in two-third among a large panel of parameteriza...
Article
Full-text available
Started in Wuhan, China, the COVID-19 has been spreading all over the world. We calibrate the logistic growth model, the generalized logistic growth model, the generalized Richards model and the generalized growth model to the reported number of infected cases for the whole of China, 29 provinces in China, and 33 countries and regions that have bee...
Article
Full-text available
We present results on the mortality statistics of the COVID-19 epidemic in a number of countries. Our data analysis suggests classifying countries in five groups, (1) Western countries, (2) East Block, (3) developed Southeast Asian countries, (4) Northern Hemisphere developing countries and (5) Southern Hemisphere countries. Comparing the number of...
Preprint
Full-text available
In this paper we introduce a method for fault network reconstruction based on the 3D spatial distribution of seismicity. One of the major drawbacks of statistical earthquake models is their inability to account for the highly anisotropic distribution of seismicity. Fault reconstruction has been proposed as a pattern recognition method aiming to ext...
Conference Paper
Full-text available
Precursor analysis is an evolving framework supporting the probabilistic analysis of incidents/accidents at nuclear power plants. For the sake of learning from experience, we are developing simplified and generic Probabilistic Safety Assessment (PSA) models that will be employed for precursor analysis of significant operational events around the wo...
Data
Motivated by a lack of open comprehensive information (e.g., no official open database for recorded serious events), and the goal for deeper learning from operating experience, we have constructed this database of events in the civil nuclear sector. The database can be downloaded here in MS Excel along with its user-friendly access tool, and a user...
Article
Full-text available
We present a detailed bubble analysis of the Bitcoin to US Dollar price dynamics from January 2012 to February 2018. We introduce a robust automatic peak detection method that classifies price time series into periods of uninterrupted market growth (drawups) and regimes of uninterrupted market decrease (drawdowns). In combination with the Lagrange...
Article
Technical trading rules and linear regression models are often used by practitioners to find trends in asset returns. However, these models typically neglect interaction terms between the lagged daily directional movements. We propose a decision tree forecasting model that has the flexibility to capture arbitrary interaction patterns. To study the...
Article
We suggest a model of a multi-agent society of decision makers taking decisions being based on two criteria, one is the utility of the prospects and the other is the attractiveness of the considered prospects. The model is the generalization of quantum decision theory, developed earlier for single decision makers realizing one-step decisions, in tw...
Article
Using the standard ETAS model of triggered seismicity, we present a rigorous theoretical analysis of the main statistical properties of temporal clusters, defined as the group of events triggered by a given main shock of fixed magnitude m that occurred at the origin of time, at times larger than some present time t. Using the technology of generati...
Article
Full-text available
Technical trading rules and linear regressive models are often used by practitioners to find trends in financial data. However, these models are unsuited to find non-linearly separable patterns. We propose a decision tree forecasting model that has the flexibility to capture arbitrary patterns. To illustrate, we construct a binary Markov process wi...
Article
In a standard bifurcation of a dynamical system, the stationary points (or more generally attractors) change qualitatively when varying a control parameter. Here we describe a novel unusual effect, when the change of a parameter, e.g. a growth rate, does not influence the stationary states, but nevertheless leads to a qualitative change of dynamics...
Article
Full-text available
We present a detailed methodological study of the application of the modified profile likelihood method for the calibration of nonlinear financial models characterized by a large number of parameters. We apply the general approach to the Log-Periodic Power Law Singularity (LPPLS) model of financial bubbles. This model is particularly relevant becau...
Preprint
Full-text available
Building on the notion that bubbles are transient self-fulfilling prophecies created by positive feedback mechanisms, we construct the simplest continuous price process whose expected returns and volatility are functions of momentum only. The momentum itself is measured by a simple continuous moving average of past prices over a given time horizon....
Article
In its original form, the self-excited Hawkes process is a cluster process where immigrants follow a Poisson process, and each immigrant may form a cluster of multi-generational offspring. The Hawkes process is generalized by replacing the Poisson immigration process with a renewal process. This generalization makes direct MLE impossible. Thus, two...
Article
Krugman (1991)'s target zone model for exchange rate dynamics has become the reference of a large part of this literature. Despite its simplicity and elegance, empirical evidence has been lacking, not least because it is difficult to capture the predicted non-linear relationship between the observable exchange rate and the non-observable fundamenta...
Article
We study the performance of the euro/Swiss franc exchange rate in the extraordinary period from September 6, 2011 and January 15, 2015 when the Swiss National Bank enforced a minimum exchange rate of 1.20 Swiss francs per euro. Based on the analogy between Brownian motion in finance and physics, the first-order effect of such a steric constraint wo...
Article
Full-text available
Abreu and Brunnermeier (2003) have argued that bubbles are not suppressed by arbitrageurs because they fail to synchronise on the uncertain beginning of the bubble. We propose an indirect quantitative test of this hypothesis and confront it with the alternative according to which bubbles persist due to the difficulty of agreeing on the end of bubbl...
Article
Full-text available
We consider the psychological effect of preference reversal and show that it finds a natural explanation in the frame of quantum decision theory. When people choose between lotteries with non-negative payoffs, they prefer a more certain lottery because of uncertainty aversion. But when people evaluate lottery prices, e.g. for selling to others the...
Article
Full-text available
The authors assess the performance of the real-time diagnostic, openly presented to the public on the website of the Financial Crisis Observatory (FCO) at ETH Zurich, of the bubble regime that developed in Chinese stock markets since mid-2014 and that started to burst in June 2015. The analysis is based on (i) the economic theory of rational expect...
Article
Full-text available
Humans are heterogenous and the behaviors of individuals could be different from that at the population level. We conduct an in-depth study of the temporal patterns of cellphone conversation activities of 73'339 anonymous cellphone users with the same truncated Weibull distribution of inter-call durations. We find that the individual call events ex...
Article
We study the performance of the euro/Swiss franc exchange rate in the extraordinary period from September 6, 2011 and January 15, 2015 when the Swiss National Bank enforced a minimum exchange rate of 1.20 Swiss francs per euro. Within the general framework built on geometric Brownian motions (GBM), the first-order effect of such a steric constraint...
Article
Full-text available
We present the "condensation" method that exploits the heterogeneity of the probability distribution functions (PDF) of event locations to improve the spatial information content of seismic catalogs. The method reduces the size of seismic catalogs while improving the access to the spatial information content of seismic catalogs. The PDFs of events...
Article
Full-text available
We generalise the description of the dynamics of the order book of financial markets in terms of a Brownian particle embedded in a fluid of incoming, exiting and annihilating particles by presenting a model of the velocity on each side (buy and sell) independently. The improved model builds on the time-averaged number of particles in the inner laye...
Article
We consider the detection of multiple outliers in Exponential and Pareto samples -- as well as general samples that have approximately Exponential or Pareto tails, thanks to Extreme Value Theory. It is shown that a simple "robust" modification of common test statistics makes inward sequential testing -- formerly relegated within the literature sinc...
Article
We propose a reduced form set of two coupled continuous time equations linking the price of a representative asset and the price of a bond, the later quantifying the cost of borrowing. The feedbacks between asset prices and bonds are mediated by the dependence of their "fundamental values" on past asset prices and bond themselves. The obtained nonl...
Conference Paper
Full-text available
We present the "condensation" method that exploits the heterogeneity of the probability distribution functions (PDF) of event locations to improve the spatial information content of seismic catalogs. The method reduces the size of seismic catalogs while improving the access to the spatial information content of seismic catalogs. The PDFs of events...
Article
Full-text available
Tomasetti and Vogelstein recently proposed that the majority of variation in cancer risk among tissues is due to "bad luck," that is, random mutations arising during DNA replication in normal noncancerous stem cells. They generalize this finding to cancer overall, claiming that "the stochastic effects of DNA replication appear to be the major contr...
Conference Paper
Full-text available
Earthquake catalogs are the single most essential element in the study of earthquake phenomena. They provide the origin time, location and magnitude information that constitutes the basis for earthquake interaction analysis as well as physics and statistics based earthquake forecasting models. The information quality of earthquake catalogs has been...
Article
Full-text available
The interfirm buyer-seller network is important from both macroeconomic and microeconomic perspectives. From a macroeconomic perspective, this network represents a form of interconnectedness that allows firm-level idiosyncratic shocks to be propagated to other firms. This propagation mechanism interferes with the averaging out process of shocks, ha...