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

DOI10.1080/713665875zbMath1405.91613arXivcond-mat/0107445OpenAlexW2115453182MaRDI QIDQ4646505

James A. Feigenbaum

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0107445

zbMATH Keywords

precursors to financial crasheslog-periodic price seriesSornette-Johansen theoretical paradigm

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Liquidity crisis detection: an application of log-periodic power law structures to default prediction ⋮ Bubbles, shocks and elementary technical trading strategies ⋮ Bayesian log-periodic model for financial crashes ⋮ Multivariate bubbles and antibubbles ⋮ Significance of log-periodic signatures in cumulative noise ⋮ Strict local martingales and optimal investment in a Black–Scholes model with a bubble ⋮ Can log-periodic power law structures arise from random fluctuations?

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