2002/10/22 by M. Ausloos, Ph. Bronlet · 1 citation
Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Benford’s Law and Fraud Detection #Complex Systems and Time Series Analysis #Current (fluid) #Exponent #Hurst exponent #Order (exchange) #SIGNAL (programming language) #Simple (philosophy) #Theoretical and Computational Physics #Zipf's law #cond-mat.stat-mech #q-fin.PM
paper · pdf · doi:10.1016/s0378-4371(02)01845-9
submitted to Physica A;Proceedings ICE02, Bali, Aug.28-31, 2002
arxiv created 2002/10/22 · openalex publication_date 2003/05/01 · arxiv updated 2009/11/30 · openalex created_date 2016/06/24 · openalex updated_date 2026/08/05
We have applied the Zipf method to extract the ζ' exponent for seven financial indices (DAX, FTSE; DJIA, NASDAQ, S&P500; Hang-Seng and Nikkei 225), after having translated the signals into a text based on two letters. We follow considerations based on the signal Hurst exponent and the notion of a time dependent Zipf law and exponent in order to implement two simple investment strategies for such indices. We show the time dependence of the returns.