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

D. Sornette, J. V. Andersen

cond-mat.stat-mecharXiv:cond-mat/0001324

Abstract

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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