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Computational social science lectures

Quantification of the High Level of Endogeneity and of Structural Regime Shifts in financial markets

Professor Didier Sornette, ETH Zurich
Room 253

The lecture introduce the ''reflexivity'' index that quantifies the relative importance of short-term endogeneity for financial markets (financial indices, future commodity markets) from mid-2000s to October 2012. Our reflexivity index is defined as the average ratio of the number of price moves that are due to endogenous interactions to the total number of all price changes, which also include exogenous events.

We provide a direct comparison of the Hawkes and ACD models based on numerical simulations and show that our effective measure of endogeneity for the ACD can be mapped onto the ''branching ratio'' of the Hawkes model. This opens the road to quantify the degree of endogeneity in the large class of auto-regressive models such as GARCH and extensions. The talk will provide an opportunity to present results of the Financial Crisis Observatory (www.er.ethz.ch/fco) at ETH Zurich, which aims at testing and quantifying rigorously, in a systematic way and on a large scale the hypothesis that financial bubbles can diagnosed with a rigorous scientific methodology before they burst.

About the Speaker

Didier Sornette is Professor of Entrepreneurial Risks and Finance at the ETH Zurich and Director of the Financial Crisis Observatory (www.er.ethz.ch/fco/index) Member of the Swiss Finance Institute Founding member of the Risk Center at ETH Zurich (June 2011) (www.riskcenter.ethz.ch). Additional information about Professor Sornette may be found by visiting: http://en.wikipedia.org/wiki/Didier_Sornette


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Computational social science lectures 2013-2014

From e-mails to social networks, from credit cards to medical analyses: human actions in today’s world are characterised by data, by digital traces through which it may be possible to draw an extremely detailed profile of our behaviour. This is the field of activity of a new discipline called Computational social science that is growing in importance and that integrates computational with social sciences.

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