Quantifying reflexivity in financial markets: Toward a prediction of flash crashes V Filimonov, D Sornette Physical Review E 85 (5), 056108, 2012 | 284 | 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 | 160 | 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 | 136 | 2015 |
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 | 97 | 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 | 88 | 2013 |
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 | 53 | 2016 |
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 | 46 | 2017 |
Power law scaling and “Dragon-Kings” in distributions of intraday financial drawdowns V Filimonov, D Sornette Chaos, Solitons & Fractals 74, 27-45, 2015 | 42 | 2015 |
Self-excited multifractal dynamics V Filimonov, D Sornette Europhysics Letters 94 (4), 46003, 2011 | 37 | 2011 |
Development of an occupational safety management system based on the process approach VA Filimonov, LN Gorina Записки Горного института 235, 113-122, 2019 | 33 | 2019 |
Detection of intensity bursts using Hawkes processes: An application to high-frequency financial data M Rambaldi, V Filimonov, F Lillo Physical Review E 97 (3), 032318, 2018 | 23 | 2018 |
Views to a war: systematic differences in media and military reporting of the war in Iraq K Donnay, V Filimonov EPJ Data Science 3, 1-29, 2014 | 19 | 2014 |
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 | 18 | 2015 |
Spurious trend switching phenomena in financial markets V Filimonov, D Sornette The European Physical Journal B 85, 1-5, 2012 | 14 | 2012 |
On the spectrum of multifractal diffusion process AI Saichev, VA Filimonov Journal of Experimental and Theoretical Physics 105, 1085-1093, 2007 | 14 | 2007 |
Quasioptimal estimation of GNSS signal parameters in coherent reception mode using sigma-point Kalman filter VV Shavrin, VI Tislenko, VY Lebedev, AS Konakov, VA Filimonov, ... Gyroscopy and Navigation 8, 24-30, 2017 | 10 | 2017 |
Estimation of the Hawkes process with renewal immigration using the EM algorithm S Wheatley, V Filimonov, D Sornette arXiv preprint arXiv:1407.7118, 2014 | 10 | 2014 |
Numerical simulation of the realizations and spectra of a quasi-multifractal diffusion process AI Saichev, VA Filimonov JETP Letters 87, 506-510, 2008 | 7 | 2008 |
Superionic conductivity of and single crystals in tetragonal modification VP Novikov, AU Sheleg, VA Filimonov Fizika Tverdogo Tela 26 (1), 132-137, 1984 | 7 | 1984 |
Sigma-point Kalman filter algorithm in the problem of GNSS signal parameters estimation in non-coherent tracking mode in spacecraft autonomous navigation equipment VV Shavrin, VI Tislenko, VY Lebedev, VA Filimonov, AS Konakov Gyroscopy and Navigation 9 (4), 255-266, 2018 | 6 | 2018 |