Significance of log-periodic signatures in cumulative noise
نویسندگان
چکیده
منابع مشابه
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 کاملM ay 2 00 3 SIGNIFICANCE OF LOG - PERIODIC SIGNATURES IN CUMULATIVE NOISE HANS - CHRISTIAN GRAF
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.
متن کاملFe 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...
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We clarify the status of log-periodicity associated with speculative bubbles preceding financial crashes. In particular, we address Feigenbaum’s [2001] criticism and show how it can be rebuked. Feigenbaum’s main result is as follows: “the hypothesis that the log-periodic component is present in the data cannot be rejected at the 95% confidence level when using all the data prior to the 1987 cra...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2003
ISSN: 1469-7688,1469-7696
DOI: 10.1088/1469-7688/3/5/303