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1

Predicting Stock Market Crashes in China

Lleo, Sébastien, Ziemba, William T.

Journal:

The Journal of Portfolio Management

Year:

2018

Language:

english

File:

PDF, 1.32 MB

english, 2018

2

The Art of Statistics: Learning from Data

Lleo, Sébastien

Journal:

Quantitative Finance

Year:

2019

Language:

english

File:

PDF, 497 KB

english, 2019

3

Gods and Robots: Myths, Machines, and Ancient Dreams of Technology

Lleo, Sébastien

Journal:

Quantitative Finance

Year:

2019

Language:

english

File:

PDF, 507 KB

english, 2019

4

Stock market crashes in 2007–2009: were we able to predict them?

Lleo, Sébastien, Ziemba, William T.

Journal:

Quantitative Finance

Year:

2012

Language:

english

File:

PDF, 3.51 MB

english, 2012

5

The bond-stock earnings yield model for stock market crash prediction: the basic idea and early applications

Lleo, Sebastien, Ziemba, William T.

Journal:

Quantitative Finance Letters

Year:

2016

Language:

english

File:

PDF, 703 KB

english, 2016

6

[World Scientific Series in Finance] Stock Market Crashes Volume 13 (Predictable and Unpredictable and What to do About Them) || The High Price–Earnings Stock Market Danger Approach of Campbell and Shiller versus the BSEYD Model

Ziemba, William T, Zhitlukhin, Mikhail, Lleo, Sebastien

Year:

2017

Language:

english

File:

PDF, 12.43 MB

english, 2017

7

Does the bond-stock earnings yield differential model predict equity market corrections better than high P/E models?

Lleo, Sébastien, Ziemba, William T.

Journal:

Financial Markets, Institutions & Instruments

Year:

2017

Language:

english

File:

PDF, 6.84 MB

english, 2017

8

Can Warren Buffett Also Predict Equity Market Downturns?

Lleo, Sebastien, Ziemba, William T.

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 387 KB

english, 2015

9

Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world

Lleo, Sébastien, Ziemba, William T.

Journal:

International Journal of Forecasting

Year:

2015

Language:

english

File:

PDF, 5.11 MB

english, 2015

10

A Simple Procedure for Combining Expert Opinion with Statistical Estimates to Achieve Superior Portfolio Performance

Davis, Mark H.A, Lleo, Sébastien

Journal:

The Journal of Portfolio Management

Year:

2016

Language:

english

File:

PDF, 505 KB

english, 2016

11

[World Scientific Series in Finance] Stock Market Crashes Volume 13 (Predictable and Unpredictable and What to do About Them) || Other Prediction Models for the Big Crashes Averaging −25%

Ziemba, William T, Zhitlukhin, Mikhail, Lleo, Sebastien

Year:

2017

Language:

english

File:

PDF, 1.25 MB

english, 2017

12

Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model

Davis, Mark, Lleo, Sebastien

Journal:

SIAM Journal on Financial Mathematics

Year:

2011

Language:

english

File:

PDF, 426 KB

english, 2011

13

[World Scientific Series in Finance] Stock Market Crashes Volume 13 (Predictable and Unpredictable and What to do About Them) || Other Bubble-testing Methodologies and Historical Bubbles

Ziemba, William T, Zhitlukhin, Mikhail, Lleo, Sebastien

Year:

2017

Language:

english

File:

PDF, 135 KB

english, 2017

14

[Advanced Series on Statistical Science and Applied Probability] Risk-Sensitive Investment Management Volume 19 || Risk-Sensitive Asset Management

Davis, Mark H A, Lleo, Sébastien

Year:

2014

Language:

english

File:

PDF, 241 KB

english, 2014

15

Combining standard and behavioral portfolio theories: a practical and intuitive approach

Alles Rodrigues, Alexandre, Lleo, Sébastien

Journal:

Quantitative Finance

Year:

2017

Language:

english

File:

PDF, 1.50 MB

english, 2017

16

[World Scientific Series in Finance] Stock Market Crashes Volume 13 (Predictable and Unpredictable and What to do About Them) || Effect of Fed Meetings and Small-Cap Dominance

Ziemba, William T, Zhitlukhin, Mikhail, Lleo, Sebastien

Year:

2017

Language:

english

File:

PDF, 673 KB

english, 2017

17

[World Scientific Series in Finance] Stock Market Crashes Volume 13 (Predictable and Unpredictable and What to do About Them) || A Simple Procedure to Incorporate Predictive Models in Stochastic Investment Models

Ziemba, William T, Zhitlukhin, Mikhail, Lleo, Sebastien

Year:

2017

Language:

english

File:

PDF, 513 KB

english, 2017

18

[World Scientific Series in Finance] Stock Market Crashes Volume 13 (Predictable and Unpredictable and What to do About Them) || Using Zweig’s Monetary and Momentum Models in the Modern Era

Ziemba, William T, Zhitlukhin, Mikhail, Lleo, Sebastien

Year:

2017

Language:

english

File:

PDF, 153 KB

english, 2017

19

Asymptotic Theory of Transaction Costs

Lleo, Sébastien

Journal:

Quantitative Finance

Year:

2018

Language:

english

File:

PDF, 400 KB

english, 2018

20

Financial and Macroeconomic Connectedness

Lleo, Sébastien

Journal:

Quantitative Finance

Year:

2018

Language:

english

File:

PDF, 385 KB

english, 2018

21

Gods and Robots: Myths, Machines, and Ancient Dreams of Technology

Lleo, Sébastien

Journal:

Quantitative Finance

Year:

2019

File:

PDF, 507 KB

2019

22

Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model

Davis, Mark, Lleo, Sébastien

Journal:

SIAM Journal on Control and Optimization

Year:

2013

Language:

english

File:

PDF, 413 KB

english, 2013

23

Risk-sensitive benchmarked asset management

Davis, Mark, Lleo, SÉBastien

Journal:

Quantitative Finance

Year:

2008

Language:

english

File:

PDF, 222 KB

english, 2008

24

Jump-diffusion asset–liability management via risk-sensitive control

Davis, Mark H. A., Lleo, Sébastien

Journal:

Year:

2015

Language:

english

File:

PDF, 267 KB

english, 2015

25

A simple procedure to incorporate predictive models in a continuous time asset allocation

Davis, Mark, Lleo, Sébastien

Journal:

Quantitative Finance Letters

Year:

2016

Language:

english

File:

PDF, 747 KB

english, 2016

26

The bond-stock earnings yield differential model: additional applications and other models for stock market crash prediction

Lleo, Sébastien, Ziemba, William T.

Journal:

Quantitative Finance Letters

Year:

2016

Language:

english

File:

PDF, 2.15 MB

english, 2016

27

[World Scientific Series in Finance] Stock Market Crashes Volume 13 (Predictable and Unpredictable and What to do About Them) || Discovery of the Bond–Stock Earnings Yield Differential Model

Ziemba, William T, Zhitlukhin, Mikhail, Lleo, Sebastien

Year:

2017

Language:

english

File:

PDF, 221 KB

english, 2017

28

[World Scientific Series in Finance] Stock Market Crashes Volume 13 (Predictable and Unpredictable and What to do About Them) || Mathematics of the Changepoint Detection Model

Ziemba, William T, Zhitlukhin, Mikhail, Lleo, Sebastien

Year:

2017

Language:

english

File:

PDF, 183 KB

english, 2017

29

[World Scientific Series in Finance] Stock Market Crashes Volume 13 (Predictable and Unpredictable and What to do About Them) || Analysis and Possible Prediction of Declines in the −5% to −15% Range

Ziemba, William T, Zhitlukhin, Mikhail, Lleo, Sebastien

Year:

2017

Language:

english

File:

PDF, 2.09 MB

english, 2017

30

Taming animal spirits: risk management with behavioural factors

Andruszkiewicz, Grzegorz, Davis, Mark H. A., Lleo, Sébastien

Journal:

Annals of Finance

Year:

2013

Language:

english

File:

PDF, 504 KB

english, 2013

31

[Advanced Series on Statistical Science and Applied Probability] Risk-Sensitive Investment Management Volume 19 || BACK MATTER

Davis, Mark H A, Lleo, Sébastien

Year:

2014

Language:

english

File:

PDF, 115 KB

english, 2014

32

Estimating animal spirits: conservative risk calculation

Andruszkiewicz, Grzegorz, Davis, Mark H. A., Lleo, Sébastien

Journal:

Quantitative Finance Letters

Year:

2014

Language:

english

File:

PDF, 445 KB

english, 2014

33

[Advanced Series on Statistical Science & Applied Probability] Risk-Sensitive Investment Management Volume 19 || Factor Estimation: Filtering and Black-Litterman

Davis, Mark H A, Lleo, Sébastien

Year:

2014

Language:

english

File:

PDF, 209 KB

english, 2014

34

[World Scientific Series in Finance] Stock Market Crashes Volume 13 (Predictable and Unpredictable and What to do About Them) || A Stopping Rule Model for Exiting Bubble-like Markets with Applications

Ziemba, William T, Zhitlukhin, Mikhail, Lleo, Sebastien

Year:

2017

Language:

english

File:

PDF, 617 KB

english, 2017

35

[World Scientific Series in Finance] Stock Market Crashes Volume 13 (Predictable and Unpredictable and What to do About Them) || Introduction

Ziemba, William T, Zhitlukhin, Mikhail, Lleo, Sebastien

Year:

2017

Language:

english

File:

PDF, 1022 KB

english, 2017

36

[World Scientific Series in Finance] Stock Market Crashes Volume 13 (Predictable and Unpredictable and What to do About Them) || Prediction of the 2007–2009 Stock Market Crashes in the US, China and Iceland

Ziemba, William T, Zhitlukhin, Mikhail, Lleo, Sebastien

Year:

2017

Language:

english

File:

PDF, 3.05 MB

english, 2017

37

Risk-Sensitive Investment in a Market with Animal Spirits

Andruszkiewicz, Grzegorz, Davis, Mark, Lleo, Sebastien

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 226 KB

english, 2014

38

Black–Litterman in continuous time: the case for filtering

Davis, Mark, Lleo, Sébastien

Journal:

Quantitative Finance Letters

Year:

2013

Language:

english

File:

PDF, 110 KB

english, 2013

39

[Advanced Series on Statistical Science and Applied Probability] Risk-Sensitive Investment Management Volume 19 || Managing Against a Benchmark

Davis, Mark H A, Lleo, Sébastien

Year:

2014

Language:

english

File:

PDF, 207 KB

english, 2014

40

Introduction

Lleo, Sébastien, Ziemba, William T.

Journal:

Quantitative Finance Letters

Year:

2016

Language:

english

File:

PDF, 433 KB

english, 2016

41

[Advanced Series on Statistical Science and Applied Probability] Risk-Sensitive Investment Management Volume 19 || Jumps in Asset Prices

Davis, Mark H A, Lleo, Sébastien

Year:

2014

Language:

english

File:

PDF, 371 KB

english, 2014

42

[Advanced Series on Statistical Science & Applied Probability] Risk-Sensitive Investment Management Volume 19 || Fund Separation and Fractional Kelly Strategies

Davis, Mark H A, Lleo, Sébastien

Year:

2014

Language:

english

File:

PDF, 216 KB

english, 2014

43

[Advanced Series on Statistical Science & Applied Probability] Risk-Sensitive Investment Management Volume 19 || Numerical Methods

Davis, Mark H A, Lleo, Sébastien

Year:

2014

Language:

english

File:

PDF, 220 KB

english, 2014

44

[Advanced Series on Statistical Science & Applied Probability] Risk-Sensitive Investment Management Volume 19 || General Jump-Diffusion Setting

Davis, Mark H A, Lleo, Sébastien

Year:

2014

Language:

english

File:

PDF, 329 KB

english, 2014

45

[Advanced Series on Statistical Science & Applied Probability] Risk-Sensitive Investment Management Volume 19 || Managing Against a Benchmark: Jump-Diffusion Case

Davis, Mark H A, Lleo, Sébastien

Year:

2014

Language:

english

File:

PDF, 298 KB

english, 2014

46

[Advanced Series on Statistical Science & Applied Probability] Risk-Sensitive Investment Management Volume 19 || Investment Constraints

Davis, Mark H A, Lleo, Sébastien

Year:

2014

Language:

english

File:

PDF, 207 KB

english, 2014

47

[Advanced Series on Statistical Science & Applied Probability] Risk-Sensitive Investment Management Volume 19 || Case Studies

Davis, Mark H A, Lleo, Sébastien

Year:

2014

Language:

english

File:

PDF, 6.51 MB

english, 2014

48

[Advanced Series on Statistical Science & Applied Probability] Risk-Sensitive Investment Management Volume 19 || Asset and Liability Management

Davis, Mark H A, Lleo, Sébastien

Year:

2014

Language:

english

File:

PDF, 1011 KB

english, 2014

49

[Advanced Series on Statistical Science & Applied Probability] Risk-Sensitive Investment Management Volume 19 || Factor and Securities Models

Davis, Mark H A, Lleo, Sébastien

Year:

2014

Language:

english

File:

PDF, 148 KB

english, 2014

50

[Advanced Series on Statistical Science & Applied Probability] Risk-Sensitive Investment Management Volume 19 || Infinite Horizon Problems

Davis, Mark H A, Lleo, Sébastien

Year:

2014

Language:

english

File:

PDF, 214 KB

english, 2014