Professor Didier Sornette
The PhysOrg article Are We in the Peak of an Oil Bubble? said
Since 2003, worldwide oil prices have quadrupled. According to a new study, the price of oil is rising at a faster-than-exponential rate, and cannot be sustained. In other words, we’re in the midst of an oil bubble, say researchers Didier Sornette and Ryan Woodard of ETH Zurich in Switzerland and Wei-Xing Zhou of the East China University of Science and Technology in Shanghai, China.
By analyzing oil prices over the past four years, the researchers have demonstrated more support for the hypothesis that the recent oil price run-up has less to do with supply-demand interplay and more to do with speculation.
In their analysis, the team gathered data on oil prices since 2005 in US dollars, euros, and other major currencies (to confirm that the results are not a consequence of the weakening of the US dollar). They also examined worldwide oil supply and demand data, specifically investigating the extent of increased demand from emerging markets such as China and India.
Didier Sornette, Ph.D., FWIF is
Professor on the Chair of Entrepreneurial Risks,
Department of Management, Technology and Economics (D-MTEC),
ETH Zurich, Switzerland. He is also
Member of the
Swiss Finance Institute,
Professor of Physics associated with the Department of Physics (D-PHYS),
ETH Zurich,
Professor of Geophysics associated with the Department of Earth Sciences
(D-ERWD), ETH Zurich,
Concurrent Professor of East China University of Science and Technology
(ECUST), Shanghai, China,
and Adjunct Professor of Geophysics at IGPP and
ESS at UCLA.
Didier is also
Elected Fellow of the World Innovation Foundation (WIF), Editor for
Lecture Notes in Physics and
Springer Series in Synergetics, and
on the Editorial Boards of
International Journal of Modern Physics C,
Journal of Economic Interaction and Coordination (JEIC), and
Quantitative Finance.
He is Member of the
Scientific Committee on Risques-Les Cahiers de l’Assurance,
Member of the
Global Advisory Board of Human Dignity and Humiliation
Studies,
and
Winner of the Science et Défence French National Award.
He is External Expert at Los Alamos National Laboratories and leader of
the
theoretical development in the project on Model Validation in the
Nuclear Stewardship program of the USA.
His fields of research interest are:
- Prediction of crises and extreme events in complex systems (with applications to finance, economics, marketing, earthquakes, rupture, biology, and medicine).
- Physics of complex systems and pattern formation in spatio-temporal structures, dynamical system theory, pattern recognition, self-organized criticality, prediction of complex systems, and time series analysis.
- Finance and economics: detection of pockets of predictability in financial markets, theory of bubbles and crashes and tests, large risks and tail dependence, theory of derivatives, portfolio optimization, trading strategies, insurance, macro-economics, agent-based models, and market microstructure.
He also authored Discrete Scale Invariance and Complex Dimensions, and coauthored Complex Critical Exponents from Renormalization Group Theory of Earthquakes: Implications for Earthquake Predictions, Large Financial Crashes, Convergent Multiplicative Processes Repelled from Zero: Power Laws and Truncated Power Laws, Rank-Ordering Statistics of Extreme Events: Application to the Distribution of Large Earthquakes, Tricritical Behavior in Rupture Induced by Disorder, Mapping Self-Organized Criticality onto Criticality, Dynamics and Memory Effects in Rupture of Thermal Fuse Networks, Stock Market Crashes, Precursors, and Replicas, and Crashes as Critical Points.
Didier graduated from Ecole Normale Supérieure (ENS Ulm, Paris) in Physical Sciences in 1981, completed his Master thesis at the University of Nice in 1981, and earned his PhD at the University of Nice in Physical Sciences in 1985.
Watch Endogenous versus Exogenous Origins of Crises.