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

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  • J. A. Feigenbaum

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.

Suggested Citation

  • J. A. Feigenbaum, 2001. "More on a statistical analysis of log-periodic precursors to financial crashes," Quantitative Finance, Taylor & Francis Journals, vol. 1(5), pages 527-532.
    • Handle: RePEc:taf:quantf:v:1:y:2001:i:5:p:527-532
    DOI: 10.1080/713665875
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    Citations

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    Cited by:

    1. John Fry, 2014. "Bubbles, shocks and elementary technical trading strategies," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 87(1), pages 1-13, January.
    2. Hans-Christian Graf v. Bothmer, 2003. "Significance of log-periodic signatures in cumulative noise," Papers cond-mat/0302507, arXiv.org, revised May 2003.
    3. Fry, J. M., 2010. "Gaussian and non-Gaussian models for financial bubbles via econophysics," MPRA Paper 27307, University Library of Munich, Germany.
    4. 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.
    5. Troy Tassier, 2013. "Handbook of Research on Complexity, by J. Barkley Rosser, Jr. and Edward Elgar," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 39(1), pages 132-133.
    6. Thomas Lux, 2009. "Applications of Statistical Physics in Finance and Economics," Chapters, in: J. Barkley Rosser Jr. (ed.), Handbook of Research on Complexity, chapter 9, Edward Elgar Publishing.
    7. Lux, Thomas, 2008. "Applications of statistical physics in finance and economics," Kiel Working Papers 1425, Kiel Institute for the World Economy (IfW Kiel).
    8. Fry, John & Cheah, Eng-Tuck, 2016. "Negative bubbles and shocks in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 343-352.
    9. Kristoffer Pons Bertelsen, 2019. "Comparing Tests for Identification of Bubbles," CREATES Research Papers 2019-16, Department of Economics and Business Economics, Aarhus University.
    10. Vakhtina, Elena & Wosnitza, Jan Henrik, 2015. "Capital market based warning indicators of bank runs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 417(C), pages 304-320.
    11. Zhou, Wei-Xing & Sornette, Didier, 2004. "Antibubble and prediction of China's stock market and real-estate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(1), pages 243-268.
    12. Fry, J. M., 2009. "Bubbles and contagion in English house prices," MPRA Paper 17687, University Library of Munich, Germany.
    13. Zhou, Wei-Xing & Sornette, Didier, 2004. "Causal slaving of the US treasury bond yield antibubble by the stock market antibubble of August 2000," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(3), pages 586-608.
    14. Wosnitza, Jan Henrik & Denz, Cornelia, 2013. "Liquidity crisis detection: An application of log-periodic power law structures to default prediction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3666-3681.
    15. George Chang & James Feigenbaum, 2006. "A Bayesian analysis of log-periodic precursors to financial crashes," Quantitative Finance, Taylor & Francis Journals, vol. 6(1), pages 15-36.
    16. Wosnitza, Jan Henrik & Leker, Jens, 2014. "Can log-periodic power law structures arise from random fluctuations?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 228-250.
    17. Martin Herdegen & Sebastian Herrmann, 2017. "Strict Local Martingales and Optimal Investment in a Black-Scholes Model with a Bubble," Papers 1711.06679, arXiv.org.
    18. Fry, John, 2012. "Exogenous and endogenous crashes as phase transitions in complex financial systems," MPRA Paper 36202, University Library of Munich, Germany.
    19. Zhou, Wei-Xing & Sornette, Didier, 2006. "Is there a real-estate bubble in the US?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 361(1), pages 297-308.
    20. Ahčan Aleš, 2011. "Testing the Sustainability of Growth of the LJSEX in the January 2000 to May 2010 period," Organizacija, Sciendo, vol. 44(2), pages 47-58, March.
    21. John Fry & McMillan David, 2015. "Stochastic modelling for financial bubbles and policy," Cogent Economics & Finance, Taylor & Francis Journals, vol. 3(1), pages 1002152-100, December.
    22. 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.
    23. Lin, L. & Ren, R.E. & Sornette, D., 2014. "The volatility-confined LPPL model: A consistent model of ‘explosive’ financial bubbles with mean-reverting residuals," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 210-225.

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