Significance of log-periodic signatures in cumulative noise

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dc.creatorBothmer, Hans-Christian Graf v.
dc.date2003-02-25
dc.date2003-05-05
dc.date.accessioned2026-07-07T12:06:45Z
dc.date.available2026-07-07T12:06:45Z
dc.descriptionUsing 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.
dc.description14 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/
dc.identifierhttps://arxiv.org/abs/cond-mat/0302507
dc.identifierhttp://arxiv.org/abs/cond-mat/0302507
dc.identifierQuantitative Finance, volume 3, issue 5, pages 370-375, 2003
dc.identifierdoi:10.1088/1469-7688/3/5/303
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208749
dc.subjectStatistical Mechanics
dc.subjectStatistical Finance
dc.titleSignificance of log-periodic signatures in cumulative noise
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