Title

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.

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