Details
| Original language | English |
|---|---|
| Pages (from-to) | 370-375 |
| Number of pages | 6 |
| Journal | Quantitative Finance |
| Volume | 3 |
| Issue number | 5 |
| Publication status | Published - Oct 2003 |
| Externally published | Yes |
Abstract
ASJC Scopus subject areas
- Mathematics(all)
- Statistics and Probability
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In: Quantitative Finance, Vol. 3, No. 5, 10.2003, p. 370-375.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Significance of log-periodic signatures in cumulative noise
AU - Bothmer, Hans Christian Graf V.
PY - 2003/10
Y1 - 2003/10
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=0346265157&partnerID=8YFLogxK
UR - http://arxiv.org/abs/cond-mat/0302507
U2 - 10.1088/1469-7688/3/5/303
DO - 10.1088/1469-7688/3/5/303
M3 - Article
AN - SCOPUS:0346265157
VL - 3
SP - 370
EP - 375
JO - Quantitative Finance
JF - Quantitative Finance
SN - 1469-7688
IS - 5
ER -