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: 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;
J. V. Andersen: Nordic Institute for Theoretical Physics, Blegdamsvej 17, DK-2100 Copenhagen, Denmark

International Journal of Modern Physics C (IJMPC), 2000, vol. 11, issue 04, 713-720

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.

Keywords: Prediction; White Noise; Increments; Conditional Expectations; Stock Market (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1142/S0129183100000626

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