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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.'
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creators_name:
- family: Situngkir
given: Hokky
honourific: Mr
lineage: ''
- family: Surya
given: Yohanes
honourific: Dr
lineage: ''
date: 2005
date_type: published
datestamp: 2005-05-02
department: Dept. Computational Sociology
dir: disk0/00/00/43/37
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editors_id: []
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eprint_status: archive
eprintid: 4337
fileinfo: /style/images/fileicons/application_pdf.png;/4337/1/zipf2.pdf
full_text_status: public
importid: ~
institution: Bandung Fe Institute
isbn: ~
ispublished: inpress
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item_issues_count: 0
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item_issues_type: []
keywords: 'eneralized (m,2)-Zipf law, time series, fluctuations, investment'
lastmod: 2011-03-11 08:56:03
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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.
relation_type: []
relation_uri: []
reportno: Working Paper WPE2005
rev_number: 12
series: ~
source: ~
status_changed: 2007-09-12 16:58:31
subjects:
- comp-sci-stat-model
- comp-sci-complex-theory
- economics
succeeds: ~
suggestions: ~
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thesistype: ~
title: 'What can we see from Investment Simulation based on Generalized (m,2)-Zipf law?'
type: techreport
userid: 4745
volume: ~