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

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  • D. Sornette

    (UCLA and CNRS-University of Nice)

  • J. V. Andersen

    (University of Nice)

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.

Suggested Citation

  • D. Sornette & J. V. Andersen, 2000. "Increments of Uncorrelated Time Series Can Be Predicted With a Universal 75% Probability of Success," Papers cond-mat/0001324, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/0001324
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    Cited by:

    1. Zhou, Wei-Xing & Sornette, Didier, 2008. "Analysis of the real estate market in Las Vegas: Bubble, seasonal patterns, and prediction of the CSW indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(1), pages 243-260.

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