Increments of Uncorrelated Time Series Can Be Predicted With a Universal 75% Probability of Success
arXiv:cond-mat/0001324 · doi:10.1142/S0129183100000626
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.
8 pages, 3 figures