NONPARAMETRIC ANALYSES OF LOG-PERIODIC PRECURSORS TO FINANCIAL CRASHES

@article{Zhou2003NONPARAMETRICAO,
  title={NONPARAMETRIC ANALYSES OF LOG-PERIODIC PRECURSORS TO FINANCIAL CRASHES},
  author={W. Zhou and D. Sornette},
  journal={International Journal of Modern Physics C},
  year={2003},
  volume={14},
  pages={1107-1125}
}
  • W. Zhou, D. Sornette
  • Published 2003
  • Mathematics, Physics, Economics
  • International Journal of Modern Physics C
We apply two nonparametric methods to further test the hypothesis that log-periodicity characterizes the detrended price trajectory of large financial indices prior to financial crashes or strong corrections. The term "parametric" refers here to the use of the log-periodic power law formula to fit the data; in contrast, "nonparametric" refers to the use of general tools such as Fourier transform, and in the present case the Hilbert transform and the so-called (H, q)-analysis. The analysis using… Expand
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