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

D. Sornette and J. V. Andersen
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D. Sornette: UCLA and CNRS-University of Nice
J. V. Andersen: University of Nice

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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.

Date: 2000-01
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Published in Int. J. Mod. Phys. C Vol. 11 (4), 713-720 (2000)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0001324

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