Significance of log-periodic signatures in cumulative noise

Details Significance of log-periodic signatures in cumulative noise Significance of log-periodic signatures in cumulative noise

2003-02-25

arxiv.org/abs/cond-mat/0302507v3

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

Physics

Condensed Matter

Statistical Mechanics

14 pages, 7 figures; AMS-Latex; introduction rewritten, some points of the exposition clarified. Author-supplied PDF file with

Scientific paper

10.1088/1469-7688/3/5/303

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.

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