IDEAS home Printed from https://ideas.repec.org/p/wpa/wuwpfi/0504022.html
   My bibliography  Save this paper

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

Author

Listed:
  • 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.

Suggested Citation

  • Hokky Situngkir & Yohanes Surya, 2005. "What can we see from Investment Simulation based on Generalized (m,2)-Zipf law?," Finance 0504022, EconWPA.
  • Handle: RePEc:wpa:wuwpfi:0504022
    Note: Type of Document - pdf; pages: 19
    as

    Download full text from publisher

    File URL: http://econwpa.repec.org/eps/fin/papers/0504/0504022.pdf
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    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," Finance 0405006, EconWPA.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

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

    JEL classification:

    • G - Financial Economics

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    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:wpa:wuwpfi:0504022. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA). General contact details of provider: http://econwpa.repec.org .

    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.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.