More on a statistical analysis of log-periodic precursors to financial crashes

DOI10.1080/713665875zbMATH Open1405.91613arXivcond-mat/0107445OpenAlexW2115453182MaRDI QIDQ4646505FDOQ4646505

Authors: James A. Feigenbaum 

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

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 behavior of the first differences of a log-periodic price series, and the distribution of drawdowns for a securities price.

Full work available at URL: https://arxiv.org/abs/cond-mat/0107445

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zbMATH Keywords

log-periodic price seriesprecursors to financial crashesSornette-Johansen theoretical paradigm

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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