Drawdowns (loss from the last local maximum to the next local minimum) offer a more natural measure of real market risks than the variance, the value-at-risk or other measures based on fixed time scale distributions of returns. Here, we extend considerably our previous analysis of drawdowns by...

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: quot;the hypothesis that the log-periodic component is present...

In January 1999, the authors published a quantitative prediction that the Nikkei index should recover from its 14 year low in January 1999 and reach approx 20500 a year later. The purpose of the present paper is to evaluate the performance of this specific prediction as well as the underlying...

We present a synthesis of all the available empirical evidence in the light of recent theoretical developments for the existence of characteristic log-periodic signatures of growing bubbles in a variety of markets including 8 unrelated crashes from 1929 to 1998 on stock markets as diverse as the...

The Nasdaq fell another (approximately) 10% on Friday the 14th of April 2000 signaling the end of a remarkable speculative high-tech bubble starting in spring 1997. The closing of the Nasdaq at 3321 corresponds to a total loss of over 35% since its all-time high of 5133 on the 10th of March...

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: quot;the hypothesis that the log-periodic component is present...

Drawdowns (loss from the last local maximum to the next local minimum) are essential aspects of risk assessment in investment management. They offer a more natural measure of real market risks than the variance or other cumulants of daily (or some other fixed time scale) distributions of...

In January 1999, the authors published a quantitative prediction that the Nikkei index should recover from its 14 year low in January 1999 and reach approximately 20,500 a year later. The purpose of the present paper is to evaluate the performance of this specific prediction as well as the...