The n-Zipf analysis of financial data series and biased data series

N. Vandewalle and Marcel Ausloos

Physica A: Statistical Mechanics and its Applications, 1999, vol. 268, issue 1, 240-249

Abstract: The Zipf analysis of n-words in random sequences and financial data series like the stock prices of a company has been performed. The bias as well as the resulting staircase structure of the Zipf plots are taken into account in the subsequent analysis. It is found that correlations for the sign of the fluctuations as well as for the amplitude of the fluctuations can be found in financial time series. The relevance of the n-Zipf analysis to financial sequences is underlined to be only weakly predictive for a “binary transformation level”, but could be more interesting for “higher translation levels”.

Keywords: Zipf plot; Scaling laws; Econophysics (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:268:y:1999:i:1:p:240-249

DOI: 10.1016/S0378-4371(99)00031-X

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