What can we see from Investment Simulation based on Generalized (m,2)-Zipf law?
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.
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.:
- Hokky Situngkir & Yohanes Surya, 2004. "Agent-based Model Construction In Financial Economic System," Departmental Working Papers wpa2004, Bandung Fe Institute.
- 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," Finance 0405006, EconWPA.
- M. Ausloos & Ph. Bronlet, 2002.
"Strategy for investments from Zipf law(s),"
- 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.
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)
If references are entirely missing, you can add them using this form.