Anastasiia Sokko, “Testing the Stochastic Disorder Model on Stock Markets”, SSRN Journal, 2017
Sébastien Lleo, William T. Ziemba, “Does the bond‐stock earnings yield differential model predict equity market corrections better than high P/E models?”, Financial Market, 26:2 (2017), 61
M. V. Zhitlukhin, W. T. Ziemba, “Exit strategies in bubble-like markets using a changepoint model”, Quant. Finance Letters, 4:1 (2016), 47–52
А. Л. Суворикова, В. Г. Спокойный, “Многоуровневый подход к обнаружению разладок”, Теория вероятн. и ее примен., 61:4 (2016), 774–804 ; A. L. Suvorikova, V. G. Spokoiny, “Multiscale approach for change point detection”, Theory Probab. Appl., 61:4 (2017), 665–691
Mark Davis, Sébastien Lleo, “A simple procedure to incorporate predictive models in a continuous time asset allocation”, Quantitative Finance Letters, 4:1 (2016), 40
R. A. Jarrow, “Asset Price Bubbles”, Annual Review of Financial Economics, 7, 2015, 201–218
Sébastien Lleo, William T. Ziemba, “Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world”, International Journal of Forecasting, 31:2 (2015), 399
Sebastien Lleo, William T. Ziemba, “Can Warren Buffett Also Predict Equity Market Downturns?”, SSRN Journal, 2015
Sebastien Lleo, William T. Ziemba, “How to Lose Money in the Financial Markets: Examples from the Recent Financial Crisis”, SSRN Journal, 2014
Sebastien Lleo, William T. Ziemba, “Stock Market Crashes in 2007-2009: Were We Able to Predict Them?”, SSRN Journal, 2011