Economics at your fingertips  

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

James Feigenbaum ()

Quantitative Finance, 2001, vol. 1, issue 5, 527-532

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.

Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (23) Track citations by RSS feed

Downloads: (external link) (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

DOI: 10.1080/713665875

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

Page updated 2022-01-16
Handle: RePEc:taf:quantf:v:1:y:2001:i:5:p:527-532