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

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.
Year of publication:
2000-01
Authors: Sornette, D. ; Andersen, J. V.
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
Published in Int. J. Mod. Phys. C Vol. 11 (4), 713-720 (2000)
Source:
Persistent link: https://www.econbiz.de/10005099342
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