IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v268y1999i1p240-249.html
   My bibliography  Save this article

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

Author

Listed:
  • Vandewalle, N.
  • Ausloos, M.

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”.

Suggested Citation

  • Vandewalle, N. & Ausloos, M., 1999. "The n-Zipf analysis of financial data series and biased data series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 268(1), pages 240-249.
    • Handle: RePEc:eee:phsmap:v:268:y:1999:i:1:p:240-249
    DOI: 10.1016/S0378-4371(99)00031-X
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S037843719900031X
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
    File URL: https://libkey.io/10.1016/S0378-4371(99)00031-X?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Zhu, Bangzhu & Ma, Shujiao & Chevallier, Julien & Wei, Yiming, 2014. "Modelling the dynamics of European carbon futures price: A Zipf analysis," Economic Modelling, Elsevier, vol. 38(C), pages 372-380.
    2. Alvarez-Ramirez, Jose & Soriano, Angel & Cisneros, Myriam & Suarez, Rodolfo, 2003. "Symmetry/anti-symmetry phase transitions in crude oil markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 322(C), pages 583-596.
    3. 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.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:268:y:1999:i:1:p:240-249. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.