creators_name: Situngkir, Hokky creators_name: Surya, Yohanes type: techreport datestamp: 2005-05-02 lastmod: 2011-03-11 08:56:03 metadata_visibility: show title: What can we see from Investment Simulation based on Generalized (m,2)-Zipf law? ispublished: inpress subjects: comp-sci-stat-model subjects: comp-sci-complex-theory subjects: economics full_text_status: public keywords: eneralized (m,2)-Zipf law, time series, fluctuations, investment 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. date: 2005 date_type: published institution: Bandung Fe Institute department: Dept. Computational Sociology refereed: TRUE referencetext: Ausloos, M., and Bronlet, Ph. (2002). "Strategy for Investment from Zipf Law(s)". Physica A 324:30-7. Ausloos, M., and Ivanova, K. (1999). "Precise (m,k)-Zipf diagram analysis of mathematical and financial time series when m = 6, k=2". Physica A 270:526-542 Baxter, M., and Andrew, R. (1997). Financial Calculus: An Introduction to Derivative Pricing. Cambridge UP. Bronlet, Ph., and Ausloos, M. (2004). Generalized (m,k)-Zipf Law for Fractional Brownian motion-like Time Series with or without Effect of an additional linear trend. Pre-print:arxiv:cond-mat/0209306 Gammel, B. M. (1998). "Hurst's rescaled range statistical analysis for pseudorandom number generators used in physical simulations". Physical Review E 58(2):2586-97. Situngkir, H., and Surya, Y., (2004). Agent-Based Model Construction in Financial Economic System. Working Paper WPA2004. Bandung Fe Institute. Pre-print: arxiv:nlin.AO/0403041. Situngkir, H., and Surya, Y. (2005), Simulasi Investasi dengan Hukum Pangkat Zipf: Analisis Zipf-(m,2) dalam Teks Data Indeks Keuangan. Working Paper WPC2005. Bandung Fe Institute. Vanderwalle, N., Brisbois, F., and Lefebvre, P.H. (2000). "Managing Both Sign and Size of Fluctuations within the n-Zipf Framework". International Journal of Theoretical and Applied Finance 3(3):409-414. citation: Situngkir, Mr Hokky and Surya, Dr Yohanes (2005) What can we see from Investment Simulation based on Generalized (m,2)-Zipf law? [Departmental Technical Report] (In Press) document_url: http://cogprints.org/4337/1/zipf2.pdf