MANAGING BOTH SIGN AND SIZE OF FLUCTUATIONS WITHIN THEn-ZIPF FRAMEWORK

N. Vandewalle, F. Brisbois and P. H. Lefebvre
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N. Vandewalle: GRASP, Institut de Physique B5, Université de Liège, B-4000 Liège, Belgium
F. Brisbois: GRASP, Institut de Physique B5, Université de Liège, B-4000 Liège, Belgium
P. H. Lefebvre: GRASP, Institut de Physique B5, Université de Liège, B-4000 Liège, Belgium

International Journal of Theoretical and Applied Finance (IJTAF), 2000, vol. 03, issue 03, 409-414

Abstract: We have performed a Zipf-like analysis of financial data. We emphasize new results: (i) the existence of long-range correlations for the sign of daily fluctuations of selected size; (ii) the existence of patterns and correlations in the world major trading places. The Zipf analysis allows also to measure the "domino effect" between trading places in the world.

Date: 2000
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DOI: 10.1142/S0219024900000280

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