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

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.

An Observational Framework to the Zipfian Analysis Among Different Languages: Studies to Indonesian Ethnic Biblical Texts

“…al., 2004), rank of general elections , the daily precipitation series in geophysics (Primo, et. al., 2007) and even inspired an alternative to investment strategies (Situngkir & Surya, 2005). Whether or not the persistence of the law in those fields related to its origin in linguistics are basically left to philosophical issues may arise but yet, we can now see that the (statistical) application of the Zipf's law are not limited to a single discipline of study.…”

Equilibrium (Zipf) and Dynamic (Grasseberg-Procaccia) method based analyses of human texts. A comparison of natural (english) and artificial (esperanto) languages

“…When applied e.g., to economic (financial) signals [50,51,52,53], each frequency f and word length l are analogous to the price of a share or the volume of a transaction. A (scaling or) power law is then often observed, i.e.…”