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Jérôme Kreuser

ETH Zurich (per OpenAlex) · OpenAlex

6 papers in scope · 5 published · 1 on the econ.EM arXiv · 15 citations · h-index 2 (over the papers listed here)

Papers

(1 of 6)

Awareness of crash risk improves Kelly strategies in simulated financial time series
working paper2020 · arXiv
with Jan-Christian Gerlach, Didier Sornette
Paper profile arXiv arXiv:2004.09368
Crash-sensitive Kelly Strategy built on a modified Kreuser-Sornette bubble model tested over three decades of twenty equity indices
published2020 · Swiss Finance Institute Research Paper Series
with J-C Gerlach, Didier Sornette, Jan-Christian Gerlach
Swiss Finance Institute Research Paper Series
Super-Exponential RE bubble model with efficient crashes
published2018 · European Journal of Finance · 2 citations · first circulated 2017
with Didier Sornette
European Journal of Finance
Bitcoin Bubble Trouble
published2018 · Wilmott · 13 citations
with Didier Sornette
Wilmott
Stochastic optimization and dynamics: what they are and why they are important for risk management in sovereign institutions 2
published2012 · ˜The œbusiness & management collection.
˜The œbusiness & management collection.
Applications of stochastic optimization to sovereign institutions 1
published2012 · ˜The œbusiness & management collection.
˜The œbusiness & management collection.

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.