Quantification of reflexivity in financial and commodity markets

Interviews

Didier Sornette, Radio-Television-Suisse, 19h30, 26 janvier 2016. external pageL’initiative contre la spéculation sur les denrées alimentaires sera soumise au vote. Elle met en lumière le phénomène des transactions financières massives qui se greffent sur certains aliments de base. Réponse le 28 février prochain.

Original Works

Vladimir Filimonov, David Bicchetti, Nicolas Maystre, Didier Sornette
external pageQuantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets
J. of Int. Money and Finance, 42, 174–192 (2014).
external pageSSRN preprint

Vladimir Filimonov, Didier Sornette
external pageQuantifying reflexivity in financial markets: towards a prediction of flash crashes
Phys. Rev. E 85 (5), 056108 (2012)
external pagearXiv preprint

Vladimir Filimonov, Didier Sornette
external pageApparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
Swiss Finance Institute Research Paper No. 13-60 (2014)
external pagearXiv preprint

Newspaper Coverage

La vie èconomique (May 2014, Switzerland)
external pageMythes, réalités et objectif général des transactions à haute fréquence (HFT: myths, reality and the bigger picture)

Financial One (June 19, 2013, Russia)
Рыночное самовозбуждение

Le Temps (April 3, 2013, Switzerland)
external pageLes deux tiers des variations des prix des matières premières sont d’origine financière (by Pierre-Alexandre Sallier) (download pdf)

La Celosía (April 2, 2013, Spain)
external pageLos precios de las materias primas varían en un 70% por la especulación y en un 30% por la oferta y la demanda

Reuters (March 27, 2013)
external pageCOLUMN: Fundamentals and behaviour in commodity prices (by John Kemp)
Reprinted by CNBC and Chicago Tribune.

Bloomberg Newsweek (March 22, 2013)
external pageCommodities Futures Driven by Price Moves, Not News, Study Finds(by Rudy Ruitenberg)

Retuers (March 21, 2013)
external pageNews accounts for just 1/3 of commodity price moves-study (by Emma Farge)

Newspaper Discussions

Le Temps (March 3, 2014, Switzerland)
Dangereux, le trading à haute fréquence?

REUSSIR GRANDES CULTURES (Mai 2013, No 269)
DownloadLa spéculation attaquée sur ses fondamentaux (PDF, 603 KB)

El Mercurio Digital (April 9, 2013, Spain)
external pageObjetivos Incumplidos del Milenio (by Juan Torres López)

Rebelión (April 4, 2013, Spain)
external pageSi la ONU quiere acabar con el hambre, debe cambiar las políticas que la causan

The American Prospect (April 3, 2013)
external pageIndustry-Funded High-Frequency Trading Study Falls Short (by Wallace Turbeville, former vice president of Goldman Sachs)

Financial Times (March 25, 2013)
Children’s hunger is not academic (by Deborah Doane, Director, World Development Movement)

Blog Discussions

Themis Trading LLC (April 02, 2013)
external pageWhat’s Causing The Commodity Price Rout?

Climateer Investing (March 28, 2013)
external pageCommodities and High Frequency Trading: Prices Being Driven By Price Moves Rather Than Fundamentals

Flassbeck Economics
When commodities are “just“ another asset by David Bicchetti and Nicolas Maystre (by Heiner Flassbeck)

Zero Hedge (March 21, 2013)
external pageHFT Reality: 70% Of Price Moves Are Disconnected From Fundamental Reality