Didier Sornette
Didier Sornette is Professor on the Chair of Entrepreneurial Risks at the Swiss Federal Institute of Technology Zurich (ETH Zurich) since March 2006. He is also a professor of the Swiss Finance Institute, and a professor associated with both the department of Physics and the department of Earth Sciences at ETH Zurich. In 2008, he launched the Financial Crisis Observatory to test the hypothesis that financial bubbles can be diagnosed in real-time and their termination can be predicted probabilistically. He is a founding member of the Risk Center at ETH Zurich since June 2011. He is a PI at the Future Resilient Center at the National University of Singapore and is a specially appointed professor of Tokyo Institute of Technology since Nov. 2016 in the new Institute of Innovative Research. Prof. Didier Sornette uses rigorous data-driven mathematical statistical analysis combined with nonlinear multi-variable dynamical models including positive and negative feedbacks to study the predictability and control of crises and extreme events in complex systems, with applications to financial bubbles and crashes, earthquake physics and geophysics, the dynamics of success on social networks and the complex system approach to medicine (immune system, epilepsy and so on) towards the diagnostic of systemic instabilities.
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Articles by Didier Sornette
Statistical testing of DeMark technical indicators on commodity futures
This paper examines the performance of three DeMark indicators over twenty-one commodity futures markets and ten years of daily data.
Real-time prediction and post-mortem analysis of the Shanghai 2015 stock market bubble and crash
This paper assesses the performance of the real-time diagnostic of the bubble regime in Chinese stock markets.