Quantifying reflexivity in financial markets: Toward a prediction of flash crashes V Filimonov, D Sornette
Physical Review E 85 (5), 056108, 2012
282 2012 A stable and robust calibration scheme of the log-periodic power law model V Filimonov, D Sornette
Physica A: Statistical Mechanics and its Applications 392 (17), 3698-3707, 2013
160 2013 Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data V Filimonov, D Sornette
Quantitative Finance 15 (8), 1293-1314, 2015
135 2015 Real-time prediction and post-mortem analysis of the Shanghai 2015 stock market bubble and crash D Sornette, G Demos, Q Zhang, P Cauwels, V Filimonov, Q Zhang
Swiss finance institute research paper, 2015
97 2015 Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets V Filimonov, D Bicchetti, N Maystre, D Sornette
Journal of International Money and Finance, 2013
88 2013 The Hawkes process with renewal immigration & its estimation with an EM algorithm S Wheatley, V Filimonov, D Sornette
Computational Statistics & Data Analysis 94, 120-135, 2016
53 2016 Modified profile likelihood inference and interval forecast of the burst of financial bubbles V Filimonov, G Demos, D Sornette
Quantitative finance 17 (8), 1167-1186, 2017
46 2017 Power law scaling and “Dragon-Kings” in distributions of intraday financial drawdowns V Filimonov, D Sornette
Chaos, Solitons & Fractals 74, 27-45, 2015
42 2015 Self-excited multifractal dynamics V Filimonov, D Sornette
Europhysics Letters 94 (4), 46003, 2011
37 2011 Development of an occupational safety management system based on the process approach VA Filimonov, LN Gorina
Записки Горного института 235, 113-122, 2019
33 2019 Detection of intensity bursts using Hawkes processes: An application to high-frequency financial data M Rambaldi, V Filimonov, F Lillo
Physical Review E 97 (3), 032318, 2018
23 2018 Views to a war: systematic differences in media and military reporting of the war in Iraq K Donnay, V Filimonov
EPJ Data Science 3, 1-29, 2014
19 2014 Effective measure of endogeneity for the Autoregressive Conditional Duration point processes via mapping to the self-excited Hawkes process V Filimonov, S Wheatley, D Sornette
Communications in Nonlinear Science and Numerical Simulation 22 (1-3), 23-37, 2015
18 2015 Spurious trend switching phenomena in financial markets V Filimonov, D Sornette
The European Physical Journal B 85, 1-5, 2012
14 2012 On the spectrum of multifractal diffusion process AI Saichev, VA Filimonov
Journal of Experimental and Theoretical Physics 105, 1085-1093, 2007
14 2007 Quasioptimal estimation of GNSS signal parameters in coherent reception mode using sigma-point Kalman filter VV Shavrin, VI Tislenko, VY Lebedev, AS Konakov, VA Filimonov, ...
Gyroscopy and Navigation 8, 24-30, 2017
10 2017 Estimation of the Hawkes process with renewal immigration using the EM algorithm S Wheatley, V Filimonov, D Sornette
arXiv preprint arXiv:1407.7118, 2014
10 2014 Numerical simulation of the realizations and spectra of a quasi-multifractal diffusion process AI Saichev, VA Filimonov
JETP Letters 87, 506-510, 2008
7 2008 Superionic conductivity of VP Novikov, AU Sheleg, VA Filimonov
Fizika Tverdogo Tela 26 (1), 132-137, 1984
7 1984 Sigma-point Kalman filter algorithm in the problem of GNSS signal parameters estimation in non-coherent tracking mode in spacecraft autonomous navigation equipment VV Shavrin, VI Tislenko, VY Lebedev, VA Filimonov, AS Konakov
Gyroscopy and Navigation 9 (4), 255-266, 2018
6 2018 
didier sornetteSUSTech, ShenzhenAdresse e-mail validée de ethz.ch
