Significance of log-periodic signatures in cumulative noise
arXiv:cond-mat/0302507 · doi:10.1088/1469-7688/3/5/303
Abstract
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.
14 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/