More on a statistical analysis of log-periodic precursors to financial crashes
James Feigenbaum ()
Quantitative Finance, 2001, vol. 1, issue 5, 527-532
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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