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Significance of log-periodic signatures in cumulative noise

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  • Hans-Christian Graf Bothmer

Abstract

Using methods introduced by Scargle we derive a cumulative version of the Lomb periodogram that exhibits frequency independent statistics when applied to cumulative noise. We show how this cumulative Lomb periodogram allows us to estimate the significance of log-periodic signatures in the S&P 500 anti-bubble that started in August 2000.

Suggested Citation

  • Hans-Christian Graf Bothmer, 2003. "Significance of log-periodic signatures in cumulative noise," Quantitative Finance, Taylor & Francis Journals, vol. 3(5), pages 370-375.
    • Handle: RePEc:taf:quantf:v:3:y:2003:i:5:p:370-375
    DOI: 10.1088/1469-7688/3/5/303
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    Cited by:

    1. Zhou, Wei-Xing & Sornette, Didier, 2004. "Antibubble and prediction of China's stock market and real-estate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(1), pages 243-268.
    2. Zhou, Wei-Xing & Sornette, Didier, 2004. "Causal slaving of the US treasury bond yield antibubble by the stock market antibubble of August 2000," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(3), pages 586-608.
    3. Zhou, Wei-Xing & Sornette, Didier, 2006. "Is there a real-estate bubble in the US?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 361(1), pages 297-308.

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