Indeed, the frequency of crashes in the Monte Carlo simulations was much smaller than the frequency of crashes in the real data: if one of the most f… - Didier Sornette
" "Indeed, the frequency of crashes in the Monte Carlo simulations was much smaller than the frequency of crashes in the real data: if one of the most frequently used benchmarks of the industry is incapable of reproducing the observed frequency of crashes, this indeed means that there is something to explain that may require new concepts and methods.
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About Didier Sornette
Didier Sornette (born 25 June 1957) is Professor on the Chair of Entrepreneurial Risks at Swiss Federal Institute of Technology Zurich (ETH Zurich). He is also a professor of the Swiss Finance Institute, a professor associated with both the department of Physics and the department of Earth Sciences at ETH Zurich.
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The concept of a random walk is simple but rich for its many applications, not only in finance but also in physics and the description of natural phenomena. It is arguably one of the most founding concepts in modern physics as well as in finance, as it underlies the theories of elementary particles, which are the building blocks of our universe, as well as those describing the complex organization of matter around us.
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