More on A Statistical Analysis of Log-Periodic Precursors to FinancialCrashes
Document Type
Article
Journal/Book Title/Conference
Quantitative Finance
Volume
1
Publication Date
2001
First Page
527
Last Page
532
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.
Recommended Citation
Feigenbaum, James A., (2001), “More on A Statistical Analysis of Log-Periodic Precursors to Financial Crashes,” Quantitative Finance 1: 527-532.
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