More on A Statistical Analysis of Log-Periodic Precursors to Financial Crashes

2001/07/20 by James Feigenbaum, James A. Feigenbaum, Feigenbaum, James A.
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #Condensed Matter (cond-mat) #FOS: Physical sciences #Financial Risk and Volatility Modeling #cond-mat

paper · pdf · doi:10.48550/arxiv.cond-mat/0107445

12 LaTex pages, no figures

arxiv created 2001/07/20 · openalex publication_date 2001/07/20 · arxiv updated 2009/11/30 · openalex created_date 2022/10/02 · openalex updated_date 2026/07/28

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.

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