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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.
Didier authored
Why Stock Markets Crash: Critical Events in Complex Financial
Systems and
Critical Phenomena in Natural Sciences: Chaos, Fractals,
Self-Organization and Disorder: Concepts and Tools,
and coauthored
Extreme Financial Risks: From Dependence to Risk Management,
Finite-Time Singularity in the Dynamics of the World Population and
Economic Indices, and
2050: The End of the Growth Era?
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.
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