Article
A Statistical Analysis of Log-Periodic Precursors to Financial Crashes
Quantitative Finance
Document Type
Article
Publication Date
1-1-2001
Abstract
We respond to Sornette and Johansen's criticisms of our findings regarding log-periodic precursors to financial crashes. Included in this paper are discussions of the Sornette-Johansen theoretical paradigm, traditional methods of identifying log-periodic precursors, the behaviour of the first differences of a log-periodic price series and the distribution of drawdowns for a securities price.
Citation Information
Feigenbaum, James A., (2001), “A Statistical Analysis of Log-Periodic Precursors to Financial Crashes,”
Quantitative Finance 1: 346-360.