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

  • J. A. Feigenbaum

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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Article provided by Taylor & Francis Journals in its journal Quantitative Finance.

Volume (Year): 1 (2001)
Issue (Month): 5 ()
Pages: 527-532

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Handle: RePEc:taf:quantf:v:1:y:2001:i:5:p:527-532
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