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

D. Sornette·J. V. Andersen
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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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D. Sornette, J. V. Andersen. 2000-01-21. Increments of Uncorrelated Time Series Can Be Predicted With a Universal 75% Probability of Success. https://doi.org/10.1142/s0129183100000626

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