More on A Statistical Analysis of Log-Periodic Precursors to FinancialCrashes

Authors

James A. Feigenbaum, Utah State UniversityFollow

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.