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Increments Of Uncorrelated Time Series Can Be Predicted With A Universal 75% Probability Of Success

Author

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  • D. SORNETTE

    (Laboratoire de Physique de la Matière Condensée, CNRS UMR6622 and Université de Nice-Sophia Antipolis, B. P. 71, Parc Valrose, 06108 Nice Cedex 2, France;
    Institute of Geophysics and Planetary Physics and Department of Earth and Space Science, University of California, Los Angeles, California 90095, USA)

  • J. V. ANDERSEN

    (Nordic Institute for Theoretical Physics, Blegdamsvej 17, DK-2100 Copenhagen, Denmark)

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," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 11(04), pages 713-720.
    • Handle: RePEc:wsi:ijmpcx:v:11:y:2000:i:04:n:s0129183100000626
    DOI: 10.1142/S0129183100000626
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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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