Strategy for investments from Zipf law(s)

Marcel Ausloos and Ph. Bronlet

Papers from arXiv.org

Abstract: We have applied the Zipf method to extract the $\zeta'$ 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.

Date: 2002-10
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://arxiv.org/pdf/cond-mat/0210499 Latest version (application/pdf)

Related works:
Journal Article: Strategy for investments from Zipf law(s) (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0210499

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().