M ay 2 00 3 SIGNIFICANCE OF LOG - PERIODIC SIGNATURES IN CUMULATIVE NOISE HANS - CHRISTIAN GRAF
نویسنده
چکیده
Using methods introduced by Scargle 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.
منابع مشابه
Fe b 20 03 SIGNIFICANCE OF LOG - PERIODIC SIGNATURES IN CUMULATIVE NOISE
In the last years there has been a heated discussion about the presence of log-periodic signatures in financial data [Fei01b], [SJ01], [Fei01a]. One tool to detect these signatures has been the Lomb periodogram introduced by Lomb [Lom76] and improved by Scargle in [Sca82]. An important property of Scargle’s periodogram is that the individual Lomb powers of independently normal distributed noise...
متن کاملSignificance of Log - Periodic Signatures in Cumulative Noise
In the last years there has been a heated discussion about the presence of log-periodic signatures in financial data [Fei01b], [SJ01], [Fei01a]. One tool to detect these signatures has been the Lomb periodogram introduced by Lomb [Lom76] and improved by Scargle in [Sca82]. An important property of Scargle’s periodogram is that the individual Lomb powers of independently normal distributed noise...
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تاریخ انتشار 2003