What Can We See from Investment Simulation Based on Generalized (M,2)-Zipf Law?

Bandung Fe Institute Working Paper No. WPE2005

19 Pages Posted: 4 May 2005

See all articles by Hokky Situngkir

Hokky Situngkir

Bandung Fe Institute; Center for Complexity in Surya University

Yohanes Surya

Surya Research Intl.

Date Written: April 27, 2005

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.

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

Suggested Citation

Situngkir, Hokky and Surya, Yohanes, What Can We See from Investment Simulation Based on Generalized (M,2)-Zipf Law? (April 27, 2005). Bandung Fe Institute Working Paper No. WPE2005. Available at SSRN: https://ssrn.com/abstract=713221 or http://dx.doi.org/10.2139/ssrn.713221

Hokky Situngkir (Contact Author)

Bandung Fe Institute ( email )

Sarimadu Permai 175
Bandung, Jawa Barat 40164
Indonesia
+622282025586 (Phone)

HOME PAGE: http://www.bandungfe.net

Center for Complexity in Surya University

Jl. Boulevard Gading Serpong Blok O/1
Summarecon Serpong
Tangerang, Banten 15810
Indonesia

Yohanes Surya

Surya Research Intl. ( email )

No Address Available

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