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What can we see from Investment Simulation based on Generalized (m,2)-Zipf law?

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  • Hokky Situngkir

    (Bandung Fe Institute)

  • Yohanes Surya

    (Surya Research International)

Abstract

The 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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File URL: http://128.118.178.162/eps/fin/papers/0504/0504022.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Finance with number 0504022.

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Length: 19 pages
Date of creation: 29 Apr 2005
Date of revision:
Handle: RePEc:wpa:wuwpfi:0504022

Note: Type of Document - pdf; pages: 19
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Web page: http://128.118.178.162

Related research

Keywords: Generalized (m; 2)-Zipf law; time series; fluctuations; investment.;

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  1. 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.
  2. Hokky Situngkir & Yohanes Surya, 2004. "Agent-based Model Construction In Financial Economic System," Departmental Working Papers wpa2004, Bandung Fe Institute.
  3. Hokky Situngkir & Yohanes Surya, 2004. "Agent-based Model Construction In Financial Economic System," Papers nlin/0403041, arXiv.org.
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