The Experts below are selected from a list of 264 Experts worldwide ranked by ideXlab platform
Didier Sornette - One of the best experts on this subject based on the ideXlab platform.
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On Rational Bubbles and Fat Tails
Journal of Money Credit and Banking, 2002Co-Authors: Thomas Lux, Didier SornetteAbstract:This paper addresses the statistical properties of time series driven by rational bubbles a la Blanchard and Watson (1982). Using insights on the behavior of multiplicative stochastic processes, we demonstrate that the tails of the unconditional distribution emerging from such bubble processes follow power-laws (exhibit Hyperbolic Decline). More precisely, we find that rational bubbles predict a fat power tail for both the bubble component and price differences with an exponent m smaller than 1. The distribution of returns is dominated by the same power-law over an extended range of large returns. Although power-law tails are a pervasive feature of empirical data, these numerical predictions are in disagreement with the usual empirical estimates. It, therefore, appears that exogenous rational bubbles are hardly reconcilable with some of the stylized facts of financial data at a very elementary level.
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Multi-dimensional rational bubbles and fat tails
Quantitative Finance, 2001Co-Authors: Yannick Malevergne, Didier SornetteAbstract:Lux and Sornette have demonstrated that the tails of the unconditional distributions of price differences and of returns associated with the model of rational bubbles of Blanchard and Watson follow power laws (i.e. exhibit Hyperbolic Decline), with an asymptotic tail exponent μ
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Multi-dimensional Rational Bubbles and fat tails: application of stochastic regression equations to financial speculation
arXiv: Statistical Mechanics, 2001Co-Authors: Yannick Malevergne, Didier SornetteAbstract:We extend the model of rational bubbles of Blanchard and of Blanchard and Watson to arbitrary dimensions d: a number d of market time series are made linearly interdependent via d times d stochastic coupling coefficients. We first show that the no-arbitrage condition imposes that the non-diagonal impacts of any asset i on any other asset j different from i has to vanish on average, i.e., must exhibit random alternative regimes of reinforcement and contrarian feedbacks. In contrast, the diagonal terms must be positive and equal on average to the inverse of the discount factor. Applying the results of renewal theory for products of random matrices to stochastic recurrence equations (SRE), we extend the theorem of Lux and Sornette (cond-mat/9910141) and demonstrate that the tails of the unconditional distributions associated with such d-dimensional bubble processes follow power laws (i.e., exhibit Hyperbolic Decline), with the same asymptotic tail exponent mu
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On Rational Bubbles and Fat Tails
arXiv: Statistical Mechanics, 1999Co-Authors: Thomas Lux, Didier SornetteAbstract:This paper addresses the statistical properties of time series driven by rational bubbles a la Blanchard and Watson (1982), corresponding to multiplicative maps, whose study has recently be revived recently in physics as a mechanism of intermittent dynamics generating power law distributions. Using insights on the behavior of multiplicative stochastic processes, we demonstrate that the tails of the unconditional distribution emerging from such bubble processes follow power-laws (exhibit Hyperbolic Decline). More precisely, we find that rational bubbles predict a 'fat' power tail for both the bubble component and price differences with an exponent smaller than 1, implying absence of convergence of the mean. The distribution of returns is dominated by the same power-law over an extended range of large returns. Although power-law tails are a pervasive feature of empirical data, these numerical predictions are in disagreement with the usual empirical estimates of an exponent between 2 and 4. It, therefore, appears that exogenous rational bubbles are hardly reconcilable with some of the stylized facts of financial data at a very elementary level.
Serge Rambal - One of the best experts on this subject based on the ideXlab platform.
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drought controls over conductance and assimilation of a mediterranean evergreen ecosystem scaling from leaf to canopy
Global Change Biology, 2003Co-Authors: Serge Rambal, Jeanmarc Ourcival, Richard Joffre, Florent Mouillot, Yann Nouvellon, Markus Reichstein, Alain RocheteauAbstract:Drought control over conductance and assimilation was assessed using eddy flux and meteorological data monitored during four summer periods from 1998 to 2001 above a closed canopy of the Mediterranean evergreen oak tree Quercus ilex. Additional discrete measurements of soil water content and predawn leaf water potential were used to characterize the severity of the drought. Canopy conductance was estimated through the big-leaf approach of Penman‐ Monteith by inverting latent heat fluxes. The gross primary production (GPP) was estimated by adding ecosystem respiration to net ecosystem exchange. Ecosystem respiration was deduced from night flux when friction velocity (u * ) was greater than 0.35ms � 1 . Empirical equations were identified that related maximal canopy conductance and daily ecosystem GPP to relative soil water content (RWC), the ratio of current soil water content to the field capacity, and to the predawn leaf water potential. Both variables showed a strong Decline with soil RWC for values lower than 0.7. The sharpest Decline was observed for GPP. The curves reached zero for RWC 50.41 and 0.45 for conductance and GPP, respectively. When the predawn leaf water potential was used as a surrogate for soil water potential, both variables showed a Hyperbolic Decline with decreasing water potential. These results were compared with already published literature values obtained at leaf level from the same tree species. Scaling up from the leaf to ecosystem highlighted the limitation of two big-leaf representations: Penman‐Monteith and Sellers’ P factor. Neither held completely for comparing leaf and canopy fluxes. Tower measurements integrate fluxes from foliage elements clumped at several levels of organization: branch, tree, and ecosystem. The Q. ilex canopy exhibited non-random distribution of foliage, emphasizing the need to take into account a clumping index, the factor necessary to apply the Lambert‐Beer law to natural forests. Our results showed that drought is an important determinant in water losses and CO2 fluxes in water-limited ecosystems. In spite of the limitations inherent to the big-leaf representation of the canopy, the equations are useful for predicting the influence of environmental factors in Mediterranean woodlands and for interpreting ecosystem exchange measurements.
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An examination of the interaction between climate, soil and leaf area index in a Quercus ilex ecosystem
Annals of Forest Science, 2003Co-Authors: Corine Hoff, Serge RambalAbstract:In Mediterranean-type ecosystems, water availability is one of the most significant variables that regulates whole plant leaf area. An equilibrium should exist between climate, soil and leaf area in such water-limited conditions. The aim of this study was to identify the relations between leaf area index (LAI), environment (climate, soil) and fluxes (water, carbon) in Mediterranean evergreen oak (Quercus ilex L.) ecosystems. To achieve this objective, 50-years simulations were performed using the FOREST-BGC model by varying LAI for a reference site and for different climates and soil water holding capacities (SWC). Transpiration, drought stress, net photosynthesis and canopy water use efficiency (WUE) were examined on a yearly basis for the last ten years of the simulation. Similar to other findings, our results show that LAI depends on site water availability, including both climate (precipitation, potential evapotranspiration) and soil factors (e.g. water storage capacity). Low SWC limit the development of the ecosystem. On high SWC soils, development is mainly limited by the climate. When LAI increases under constant SWC and climate conditions, the decrease in annual transpiration per unit of LAI is accompanied by an increase in drought stress. Equilibrium LAI maximizes carbon assimilation. For the reference site, the equilibrium LAI is close to the observed value, 3.25. The corresponding transpiration, assimilation and WUE are 375 mm, 1251 g C m$^{-2}$ and 3.1 mmol CO$_2$ mol$^{-1}$ H$_2$O, respectively. For the different sites, there is an Hyperbolic Decline of WUE with increasing SWC. This implies that production efficiency per unit leaf area is higher in most water-limited environments. Our study shows that a model such as FOREST-BGC allows inter-relations between water balance, carbon balance and drought stress to be taken into account to better understand ecosystem LAI.
Alain Rocheteau - One of the best experts on this subject based on the ideXlab platform.
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drought controls over conductance and assimilation of a mediterranean evergreen ecosystem scaling from leaf to canopy
Global Change Biology, 2003Co-Authors: Serge Rambal, Jeanmarc Ourcival, Richard Joffre, Florent Mouillot, Yann Nouvellon, Markus Reichstein, Alain RocheteauAbstract:Drought control over conductance and assimilation was assessed using eddy flux and meteorological data monitored during four summer periods from 1998 to 2001 above a closed canopy of the Mediterranean evergreen oak tree Quercus ilex. Additional discrete measurements of soil water content and predawn leaf water potential were used to characterize the severity of the drought. Canopy conductance was estimated through the big-leaf approach of Penman‐ Monteith by inverting latent heat fluxes. The gross primary production (GPP) was estimated by adding ecosystem respiration to net ecosystem exchange. Ecosystem respiration was deduced from night flux when friction velocity (u * ) was greater than 0.35ms � 1 . Empirical equations were identified that related maximal canopy conductance and daily ecosystem GPP to relative soil water content (RWC), the ratio of current soil water content to the field capacity, and to the predawn leaf water potential. Both variables showed a strong Decline with soil RWC for values lower than 0.7. The sharpest Decline was observed for GPP. The curves reached zero for RWC 50.41 and 0.45 for conductance and GPP, respectively. When the predawn leaf water potential was used as a surrogate for soil water potential, both variables showed a Hyperbolic Decline with decreasing water potential. These results were compared with already published literature values obtained at leaf level from the same tree species. Scaling up from the leaf to ecosystem highlighted the limitation of two big-leaf representations: Penman‐Monteith and Sellers’ P factor. Neither held completely for comparing leaf and canopy fluxes. Tower measurements integrate fluxes from foliage elements clumped at several levels of organization: branch, tree, and ecosystem. The Q. ilex canopy exhibited non-random distribution of foliage, emphasizing the need to take into account a clumping index, the factor necessary to apply the Lambert‐Beer law to natural forests. Our results showed that drought is an important determinant in water losses and CO2 fluxes in water-limited ecosystems. In spite of the limitations inherent to the big-leaf representation of the canopy, the equations are useful for predicting the influence of environmental factors in Mediterranean woodlands and for interpreting ecosystem exchange measurements.
Thomas Lux - One of the best experts on this subject based on the ideXlab platform.
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Financial power laws: Empirical evidence, models, and mechanism
Chaos Solitons & Fractals, 2016Co-Authors: Thomas LuxAbstract:Financial markets (share markets, foreign exchange markets and others) are all characterized by a number of universal power laws. The most prominent example is the ubiquitous finding of a robust, approximately cubic power law characterizing the distribution of large returns. A similarly robust feature is long-range dependence in volatility (i.e., Hyperbolic Decline of its autocorrelation function). The recent literature adds temporal scaling of trading volume and multi-scaling of higher moments of returns. Increasing awareness of these properties has recently spurred attempts at theoretical explanations of the emergence of these key characteristics form the market process. In principle, different types of dynamic processes could be responsible for these power-laws. Examples to be found in the economics literature include multiplicative stochastic processes as well as dynamic processes with multiple equilibria. Though both types of dynamics are characterized by intermittent behavior which occasionally generates large bursts of activity, they can be based on fundamentally different perceptions of the trading process. The present chapter reviews both the analytical background of the power laws emerging from the above data generating mechanism as well as pertinent models proposed in the economics literature.
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On Rational Bubbles and Fat Tails
Journal of Money Credit and Banking, 2002Co-Authors: Thomas Lux, Didier SornetteAbstract:This paper addresses the statistical properties of time series driven by rational bubbles a la Blanchard and Watson (1982). Using insights on the behavior of multiplicative stochastic processes, we demonstrate that the tails of the unconditional distribution emerging from such bubble processes follow power-laws (exhibit Hyperbolic Decline). More precisely, we find that rational bubbles predict a fat power tail for both the bubble component and price differences with an exponent m smaller than 1. The distribution of returns is dominated by the same power-law over an extended range of large returns. Although power-law tails are a pervasive feature of empirical data, these numerical predictions are in disagreement with the usual empirical estimates. It, therefore, appears that exogenous rational bubbles are hardly reconcilable with some of the stylized facts of financial data at a very elementary level.
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On Rational Bubbles and Fat Tails
arXiv: Statistical Mechanics, 1999Co-Authors: Thomas Lux, Didier SornetteAbstract:This paper addresses the statistical properties of time series driven by rational bubbles a la Blanchard and Watson (1982), corresponding to multiplicative maps, whose study has recently be revived recently in physics as a mechanism of intermittent dynamics generating power law distributions. Using insights on the behavior of multiplicative stochastic processes, we demonstrate that the tails of the unconditional distribution emerging from such bubble processes follow power-laws (exhibit Hyperbolic Decline). More precisely, we find that rational bubbles predict a 'fat' power tail for both the bubble component and price differences with an exponent smaller than 1, implying absence of convergence of the mean. The distribution of returns is dominated by the same power-law over an extended range of large returns. Although power-law tails are a pervasive feature of empirical data, these numerical predictions are in disagreement with the usual empirical estimates of an exponent between 2 and 4. It, therefore, appears that exogenous rational bubbles are hardly reconcilable with some of the stylized facts of financial data at a very elementary level.
Tadeusz W Patzek - One of the best experts on this subject based on the ideXlab platform.
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Physical Scaling of Oil Production Rates and Ultimate Recovery from All Horizontal Wells in the Bakken Shale
Energies, 2020Co-Authors: Wardana Saputra, Wissem Kirati, Tadeusz W PatzekAbstract:A recent study by the Wall Street Journal reveals that the hydrofractured horizontal wells in shales have been producing less than the industrial forecasts with the empirical Hyperbolic Decline curve analysis (DCA). As an alternative to DCA, we introduce a simple, fast and accurate method of estimating ultimate recovery in oil shales. We adopt a physics-based scaling approach to analyze oil rates and ultimate recovery from 14,888 active horizontal oil wells in the Bakken shale. To predict the Estimated Ultimate Recovery (EUR), we collapse production records from individual horizontal shale oil wells onto two segments of a master curve: (1) We find that cumulative oil production from 4845 wells is still growing linearly with the square root of time; and (2) 6401 wells are already in exponential Decline after approximately seven years on production. In addition, 2363 wells have discontinuous production records, because of refracturing or changes in downhole flowing pressure, and are matched with a linear combination of scaling curves superposed in time. The remaining 1279 new wells with less than 12 months on production have too few production records to allow for robust matches. These wells are scaled with the slopes of other comparable wells in the square-root-of-time flow regime. In the end, we predict that total ultimate recovery from all existing horizontal wells in Bakken will be some 4.5 billion barrels of oil. We also find that wells completed in the Middle Bakken formation, in general, produce more oil than those completed in the Upper Three Forks formation. The newly completed longer wells with larger hydrofractures have higher initial production rates, but they Decline faster and have EURs similar to the cheaper old wells. There is little correlation among EUR, lateral length, and the number and size of hydrofractures. Therefore, technology may not help much in boosting production of new wells completed in the poor immature areas along the edges of the Williston Basin. Operators and policymakers may use our findings to optimize the possible futures of the Bakken shale and other plays. More importantly, the petroleum industry may adopt our physics-based method as an alternative to the overly optimistic Hyperbolic DCA that yields an ‘illusory picture’ of shale oil resources.
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Physical Scaling Predicts Oil Production Rates and Ultimate Recovery from All Horizontal Wells in the Bakken Shale
2019Co-Authors: Wardana Saputra, Wissem Kirati, Tadeusz W PatzekAbstract:A recent study by the Wall Street Journal reveals that the hydrofractured horizontal wells in shales have been producing less than forecasted by the industry with the empirical Hyperbolic Decline curve analysis (DCA). As an alternative to DCA, we introduce a simple, fast and accurate method of estimating ultimate recovery (EUR) in oil shales. We adopt a physics-based scaling approach to analyze oil rates and ultimate recovery from 14,888 active horizontal oil wells in the Bakken shale. To predict EUR, we collapse production records from individual horizontal shale oil wells onto two segments of a master curve: (1) We find that cumulative oil production from 4,845 wells is still growing linearly with the square root of time; and (2) 6,401 wells are already in exponential Decline after approximately seven years on production. In addition, 2,363 wells have discontinuous production records, because of refracturing or changes in downhole flowing pressure, and are matched with a linear combination of scaling curves superposed in time. The remaining 1,279 new wells with less than 12 months on production have too few production records to allow for robust matches. These wells are scaled with the slopes of other comparable wells in the square-root-of-time flow regime. In the end, we predict that total ultimate recovery from all existing horizontal wells in Bakken will be some 4.5 billion barrels of oil. We also find that wells completed in the Middle Bakken formation, in general, produce more oil than those completed in the Upper Three Forks formation. The newly completed longer wells with larger hydrofractures have higher initial production rates, but they Decline faster and have EURs similar to the cheaper old wells. There is little correlation among EUR, lateral length, and the number and size of hydrofractures. Therefore, technology may not help much in boosting production of new wells completed in the poor immature areas along the edges of the Williston Basin. Operators and policy-makers may use our findings to optimize the possible futures of the Bakken shale and other plays. More importantly, petroleum industry may adopt our physics-based method as an alternative to the overly-optimistic Hyperbolic DCA that yields an "illusory picture" of shale oil resources.