More on A Statistical Analysis of Log-Periodic Precursors to Financial Crashes
نویسنده
چکیده
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 behavior of the first differences of a log-periodic price series, and the distribution of drawdowns for a securities price.
منابع مشابه
A Statistical Analysis of Log-Periodic Precursors to Financial Crashes
Motivated by the hypothesis that financial crashes are macroscopic examples of critical phenomena associated with a discrete scaling symmetry, we reconsider the evidence of log-periodic precursors to financial crashes and test the prediction that log-periodic oscillations in a financial index are embedded in the conditional expectation function of this index. In particular, we examine the first...
متن کاملA Bayesian Analysis of Log-Periodic Precursors to Financial Crashes∗
A large number of papers have been written by physicists documenting an alleged signature of imminent financial crashes involving so-called log-periodic oscillations—oscillations which are periodic with respect to the logarithm of the time to the crash. In addition to the obvious practical implications of such a signature, log-periodicity has been taken as evidence that financial markets can be...
متن کاملAre financial crashes predictable?
– We critically review recent claims that financial crashes can be predicted using the idea of log-periodic oscillations or by other methods inspired by the physics of critical phenomena. In particular, the October 1997 “correction” does not appear to be the accumulation point of a geometric series of local minima. It is rather tempting to see financial crashes as the analogue of critical point...
متن کاملSignificance of log-periodic precursors to financial crashes
We clarify the status of log-periodicity associated with speculative bubbles preceding financial crashes. In particular, we address Feigenbaum’s [2001] criticism and show how it can be rebuked. Feigenbaum’s main result is as follows: “the hypothesis that the log-periodic component is present in the data cannot be rejected at the 95% confidence level when using all the data prior to the 1987 cra...
متن کاملLarge financial crashes
We propose that large stock market crashes are analogous to critical points studied in statistical physics with log-periodic correction to scaling. We extend our previous renormalization group model of stock market prices prior to and after crashes [D. Sornette et al., J.Phys.I France 6, 167, 1996] by including the first non-linear correction. This predicts the existence of a log-frequency shif...
متن کامل