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

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

2000-01-21

arxiv.org/abs/cond-mat/0001324v1

Int. J. Mod. Phys. C Vol. 11 (4), 713-720 (2000)

Physics

Condensed Matter

Statistical Mechanics

8 pages, 3 figures

Scientific paper

10.1142/S0129183100000626

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.

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