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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 1: Finanzm
ärkte und Risikomanagement

AKSOE 1.4: Vortrag

Montag, 8. März 2004, 11:30–12:00, H8

Significance of log-periodic signatures in cumulative noise — •Hans-Christian Graf v. Bothmer — Universität Hannover, Institut für Mathematik (C), Welfengarten 1, 30167 Hannover

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.