More on a statistical analysis of log-periodic precursors to financial crashes
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.Download Info
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Bibliographic Info
Article provided by Taylor and Francis Journals in its journal Quantitative Finance.
Volume (Year): 1 (2001)
Issue (Month): 5 ()
Pages: 527-532
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Web page: http://taylorandfrancis.metapress.com/link.asp?target=journal&id=111405
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Fry, John, 2012. "Exogenous and endogenous crashes as phase transitions in complex financial systems," MPRA Paper 36202, University Library of Munich, Germany.
- John M. Fry, 2009.
"Statistical modelling of financial crashes: Rapid growth, illusion of certainty and contagion,"
EERI Research Paper Series
EERI_RP_2009_10, Economics and Econometrics Research Institute (EERI), Brussels.
- Fry, J. M., 2009. "Statistical modelling of financial crashes: Rapid growth, illusion of certainty and contagion," MPRA Paper 16027, University Library of Munich, Germany.
- Fry, J. M., 2010. "Bubbles and crashes in finance: A phase transition from random to deterministic behaviour in prices," MPRA Paper 24778, University Library of Munich, Germany.
- Fry, J. M., 2010. "Gaussian and non-Gaussian models for financial bubbles via econophysics," MPRA Paper 27307, University Library of Munich, Germany.
- Hans-Christian Graf v. Bothmer, 2003. "Significance of log-periodic signatures in cumulative noise," Papers cond-mat/0302507, arXiv.org, revised May 2003.
- Fry, J. M., 2009. "Bubbles and contagion in English house prices," MPRA Paper 17687, University Library of Munich, Germany.
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