arXiv:cond-mat/0302507 Abstract

arXiv:cond-mat/0302507Abstract References Reviews Resources

Significance of log-periodic signatures in cumulative noise

Published 2003-02-25, updated 2003-05-05Version 3

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.

Comments: 14 pages, 7 figures; AMS-Latex; introduction rewritten, some points of the exposition clarified. Author-supplied PDF file with high resolution graphics is available at http://btm8x5.mat.uni-bayreuth.de/~bothmer/

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

DOI: 10.1088/1469-7688/3/5/303

Categories: cond-mat.stat-mech, q-fin.ST

Keywords: log-periodic signatures, cumulative noise, significance, frequency independent statistics, cumulative lomb periodogram

Tags: journal article

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