More on a statistical analysis of log-periodic precursors to financial crashes
AbstractWe 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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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Quantitative Finance.
Volume (Year): 1 (2001)
Issue (Month): 5 ()
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Web page: http://taylorandfrancis.metapress.com/link.asp?target=journal&id=111405
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