Vladimir Filimonov
Vladimir Filimonov
Senior Researcher, ETH Zurich, D-MTEC
Verified email at ethz.ch - Homepage
Cited by
Cited by
Quantifying reflexivity in financial markets: Toward a prediction of flash crashes
V Filimonov, D Sornette
Physical Review E 85 (5), 056108, 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
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
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
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
Self-excited multifractal dynamics
V Filimonov, D Sornette
EPL (Europhysics Letters) 94 (4), 46003, 2011
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
Power law scaling and “Dragon-Kings” in distributions of intraday financial drawdowns
V Filimonov, D Sornette
Chaos, Solitons & Fractals 74, 27-45, 2015
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
On the spectrum of multifractal diffusion process
AI Saichev, VA Filimonov
Journal of Experimental and Theoretical Physics 105 (5), 1085-1093, 2007
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
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), 25, 2014
Spurious trend switching phenomena in financial markets
V Filimonov, D Sornette
The European Physical Journal B 85 (5), 155, 2012
Estimation of the hawkes process with renewal immigration using the em algorithm
S Wheatley, V Filimonov, D Sornette
Swiss Finance Institute Research Paper, 2014
Numerical simulation of the realizations and spectra of a quasi-multifractal diffusion process
AI Saichev, VA Filimonov
JETP Letters 87 (9), 506-510, 2008
Bridge homogeneous volatility estimators
A Saichev, D Sornette, V Filimonov, F Corsi
Quantitative Finance 14 (1), 87-99, 2014
Most efficient homogeneous volatility estimators
A Saichev, D Sornette, V Filimonov
arXiv preprint arXiv:0908.1677, 2009
Conductivité superionique des monocristaux quadratiques ZnP2 et CdP2
VP Novikov, AU Sheleg, VA Filimonov
Fizika tverdogo tela 26 (1), 132-137, 1984
О спектре диффузионного мультифрактального процесса
АИ Саичев, ВА Филимонов
Журнал экспериментальной и теоретической физики 132 (5), 1235-1244, 2007
Report, Views and Recommendations on "Modeling High-Frequency Trading Activity"
JP Bouchaud, P Embrechts, V Filimonov, R Gencay, L Harris, S Ivliev, ...
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