Strategy for Investments from Zipf Law(s)
نویسنده
چکیده
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.
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تاریخ انتشار 2002