Significance of log-periodic signatures in cumulative noise

Hans-Christian Graf v. Bothmer

Papers from arXiv.org

Abstract: Using methods introduced by Scargle in 1978 we derive a cumulative version of the Lomb periodogram that exhibits frequency independent statistics when applied to cumulative noise. We show how this cumulative Lomb periodogram allows us to estimate the significance of log-periodic signatures in the S&P 500 anti-bubble that started in August 2000.

Date: 2003-02, Revised 2003-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published in Quantitative Finance, volume 3, issue 5, pages 370-375, 2003

Downloads: (external link)
http://arxiv.org/pdf/cond-mat/0302507 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0302507

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().