What can we see from Investment Simulation based on Generalized (m,2)-Zipf law?
AbstractThe paper revisits the investment simulation based on strategies exhibited by Generalized (m,2)-Zipf law to present an interesting characterization of the wildness in financial time series. The investigations of dominant strategies on each specific time series shows that longer words dominant in larger time scale exhibit shorter dominant ones in smaller time scale and vice versa. Moreover, denoting the term wildness based on persistence over short term trend and memory represented by particular length of words, we can see how wild historical fluctuations over time series data coped with the Zipf strategies.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number physics/0504210.
Date of creation: Apr 2005
Date of revision: May 2005
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Web page: http://arxiv.org/
Other versions of this item:
- Hokky Situngkir & Yohanes Surya, 2005. "What can we see from Investment Simulation based on Generalized (m,2)-Zipf law?," Finance 0504022, EconWPA.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ausloos, M. & Bronlet, Ph., 2003.
"Strategy for investments from Zipf law(s),"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 324(1), pages 30-37.
- Hokky Situngkir & Yohanes Surya, 2004.
"Agent-based Model Construction In Financial Economic System,"
- Hokky Situngkir & Yohanes Surya, 2004. "Agent-based Model Construction In Financial Economic System," Papers nlin/0403041, arXiv.org.
- Hokky Situngkir & Yohanes Surya, 2004. "Agent-based Model Construction In Financial Economic System," Departmental Working Papers wpa2004, Bandung Fe Institute.
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