Reply to Johansen's comment
This is a reply to Johansen's comment on `Are Financial Crashes Predictable?', by L. Laloux, M. Potters, R. Cont, J.P. Aguilar, J.P. Bouchaud, Europhys. Lett. 45, p. 1 (1999).
cond-mat↗
arXiv subjects
Jean-Pierre Aguilar
Publications and source records attributed to Jean-Pierre Aguilar.
Are Financial Crashes Predictable?
We critically review recent claims that financial crashes can be predicted using the idea of log-periodic oscillations or by other methods inspired by the physics of critical phenomena. In particular, the October 1997 `correction' does not appear to be the accumulation point of a geometric series of local minima.
cond-mat.stat-mech↗
Missing Information and Asset Allocation
When the available statistical information is imperfect, it is dangerous to follow standard optimisation procedures to construct an optimal portfolio, which usually leads to a strong concentration of the weights on very few assets. We propose a new way, based on generalised entropies, to ensure a minimal degree of diversification.
cond-mat.stat-mech↗