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Non-Parametric Analyses of Log-Periodic Precursors to Financial Crashes

By Wei-xing Zhou and Didier Sornette

Abstract

We apply two non-parametric methods to test further the hypothesis that log-periodicity characterizes the detrended price trajectory of large financial indices prior to financial crashes or strong corrections. The analysis using the so-called (H, q)-derivative is applied to seve

Year: 2013
OAI identifier: oai:CiteSeerX.psu:10.1.1.311.5112
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