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Article
A Statistical Analysis of Log-Periodic Precursors to Financial Crashes
Quantitative Finance
  • James A. Feigenbaum, Utah State University
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.