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Spencer Wheatley

ETH Zurich (from arXiv:1803.05663, 2018) · ORCID · OpenAlex

13 papers in scope · 12 published · 1 on the econ.EM arXiv · 451 citations · h-index 9 (over the papers listed here)

Papers

(1 of 13)

Multiple outlier detection in samples with exponential & Pareto tails
published2025 · Journal of Applied Statistics · 11 citations · first circulated 2015
with Didier Sornette, Ren Wei, Ran Wei
Journal of Applied Statistics
The ARMA Point Process and its Estimation
published2021 · Econometrics and Statistics · 4 citations · first circulated 2018
with Michael Schatz, Didier Sornette
Econometrics and Statistics
Revisiting the Predictability of the Haicheng and Tangshan Earthquakes
published2021 · Symmetry · 3 citations
with Didier Sornette, Euan Mearns
Symmetry
Scale-, time-and asset-dependence of Hawkes process estimates on high frequency price changes
published2021 · Quantitative Finance · 15 citations · first circulated 2020
with Alexander Wehrli, Didier Sornette
Quantitative Finance
Inefficiency and predictability in the Brexit Pound market: a natural experiment
published2020 · European Journal of Finance · 4 citations
with Ke Wu, Didier Sornette
European Journal of Finance
Are Bitcoin bubbles predictable? Combining a generalized Metcalfe’s Law and the Log-Periodic Power Law Singularity model
published2019 · Royal Society Open Science · 104 citations
with Didier Sornette, Tobias Huber, Max Reppen, Robert N. Gantner
Royal Society Open Science
THE FAIR REWARD PROBLEM: THE ILLUSION OF SUCCESS AND HOW TO SOLVE IT
published2019 · Advances in Complex Systems · 13 citations
with Didier Sornette, Peter Cauwels
Advances in Complex Systems
The endo–exo problem in high frequency financial price fluctuations and rejecting criticality
published2019 · Quantitative Finance · 34 citations · first circulated 2018
with Alexander Wehrli, Didier Sornette
Quantitative Finance
Classification of cryptocurrency coins and tokens by the dynamics of their market capitalizations
published2018 · Royal Society Open Science · 55 citations
with Ke Wu, Didier Sornette
Royal Society Open Science
Are Bitcoin Bubbles Predictable? Combining a Generalized Metcalfe's Law and the LPPLS Model
working paper2018 · arXiv · 18 citations
with Didier Sornette, Tobias Huber, Max Reppen, Robert N. Gantner
Paper profile arXiv arXiv:1803.05663
The British Pound on Brexit night: a natural experiment of market efficiency and real-time predictability
published2017 · Swiss Finance Institute Research Paper Series · 9 citations
with Ke Wu, Didier Sornette
Swiss Finance Institute Research Paper Series
The extreme risk of personal data breaches and the erosion of privacy
published2016 · The European Physical Journal B · 141 citations
with Thomas Maillart, Didier Sornette
The European Physical Journal B
The Hawkes process with renewal immigration & its estimation with an EM algorithm
published2015 · Computational Statistics & Data Analysis · 40 citations · first circulated 2014
with Vladimir Filimonov, Didier Sornette
Computational Statistics & Data Analysis

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.