Quantification of reflexivity in financial and commodity markets
Interviews
Didier Sornette, Radio-Television-Suisse, 19h30, 26 janvier 2016. external page L’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 page Quantification 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 page SSRN preprint
Vladimir Filimonov, Didier Sornette
external page Quantifying reflexivity in financial markets: towards a prediction of flash crashes
Phys. Rev. E 85 (5), 056108 (2012)
external page arXiv preprint
Vladimir Filimonov, Didier Sornette
external page Apparent 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 page arXiv preprint
Newspaper Coverage
La vie èconomique (May 2014, Switzerland)
external page Mythes, 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 page Les 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 page Los 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 page COLUMN: Fundamentals and behaviour in commodity prices (by John Kemp)
Reprinted by CNBC and Chicago Tribune.
Bloomberg Newsweek (March 22, 2013)
external page Commodities Futures Driven by Price Moves, Not News, Study Finds(by Rudy Ruitenberg)
Retuers (March 21, 2013)
external page News 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)
Download La spéculation attaquée sur ses fondamentaux (PDF, 603 KB)
El Mercurio Digital (April 9, 2013, Spain)
external page Objetivos Incumplidos del Milenio (by Juan Torres López)
Rebelión (April 4, 2013, Spain)
external page Si la ONU quiere acabar con el hambre, debe cambiar las políticas que la causan
The American Prospect (April 3, 2013)
external page Industry-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 page What’s Causing The Commodity Price Rout?
Climateer Investing (March 28, 2013)
external page Commodities 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 page HFT Reality: 70% Of Price Moves Are Disconnected From Fundamental Reality