Strategy for investments from Zipf law(s)

Marcel Ausloos and Ph. Bronlet

Physica A: Statistical Mechanics and its Applications, 2003, vol. 324, issue 1, 30-37

Abstract: We have applied the Zipf method to extract the ζ′ exponent for seven financial indices (DAX, FTSE; DJIA, NASDAQ, S&P500; Hang-Seng and Nikkei 225), after having translated the signals into a text based on two letters. We follow considerations based on the signal Hurst exponent and the notion of a time dependent Zipf law and exponent in order to implement two simple investment strategies for such indices. We show the time dependence of the returns.

Keywords: Zipf; Econophysics; Financial indices; Returns; Hurst exponent (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:324:y:2003:i:1:p:30-37

DOI: 10.1016/S0378-4371(02)01845-9

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