Strategy for investments from Zipf law(s)

Details Strategy for investments from Zipf law(s) Strategy for investments from Zipf law(s)

2002-10-22

arxiv.org/abs/cond-mat/0210499v1

Physics

Condensed Matter

Statistical Mechanics

submitted to Physica A;Proceedings ICE02, Bali, Aug.28-31, 2002

Scientific paper

10.1016/S0378-4371(02)01845-9

We have applied the Zipf method to extract the $\zeta'$ 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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