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Increments of Uncorrelated Time Series Can Be Predicted With a Universal 75% Probability of Success

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Author Info

  • D. Sornette

    (UCLA and CNRS-University of Nice)

  • J. V. Andersen

    (University of Nice)

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    Abstract

    We present a simple and general result that the sign of the variations or increments of uncorrelated times series are predictable with a remarkably high success probability of 75% for symmetric sign distributions. The origin of this paradoxical result is explained in details. We also present some tests on synthetic, financial and global temperature time series.

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    File URL: http://arxiv.org/pdf/cond-mat/0001324
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number cond-mat/0001324.

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    Date of creation: Jan 2000
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    Publication status: Published in Int. J. Mod. Phys. C Vol. 11 (4), 713-720 (2000)
    Handle: RePEc:arx:papers:cond-mat/0001324

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    Web page: http://arxiv.org/

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    Cited by:
    1. Wei-Xing Zhou & Didier Sornette, 2007. "Analysis of the real estate market in Las Vegas: Bubble, seasonal patterns, and prediction of the CSW indexes," Papers 0704.0589, arXiv.org.

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