Increments of Uncorrelated Time Series Can Be Predicted With a Universal 75% Probability of Success
AbstractWe 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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number cond-mat/0001324.
Date of creation: Jan 2000
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Publication status: Published in Int. J. Mod. Phys. C Vol. 11 (4), 713-720 (2000)
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Web page: http://arxiv.org/
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