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Significance of log-periodic signatures in cumulative noise | | Hans-Christian Graf v. Bothmer
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25 Feb 2003 | | Journal: | Quantitative Finance, volume 3, issue 5, pages 370-375, 2003 DOI: 10.1088/1469-7688/3/5/303 | | Subject: | Statistical Mechanics | cond-mat.stat-mech | | 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. | | Source: | arXiv, cond-mat/0302507 | | Services: | Forum | Review | PDF | Favorites | |
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