Increments of uncorrelated time series can be predicted with a universal 75% probability of success

被引：5

作者：

Sornette, D

Andersen, JV

机构：

[1] CNRS, UMR 6622, Phys Mat Condensee Lab, F-06108 Nice 2, France

[2] Univ Nice, F-06108 Nice, France

[3] Univ Calif Los Angeles, Inst Geophys & Planetary Phys, Los Angeles, CA 90095 USA

[4] Univ Calif Los Angeles, Dept Earth & Space Sci, Los Angeles, CA 90095 USA

来源：

INTERNATIONAL JOURNAL OF MODERN PHYSICS C | 2000年 / 11卷 / 04期

关键词：

prediction; white noise; increments; conditional expectations; stock market;

D O I：

10.1142/S0129183100000626

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

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.

引用

页码：713 / 720

页数：8

共 5 条

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