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Strategy for investments from Zipf law(s)

M. Ausloos·Ph. Bronlet
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Abstract

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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BibTeXRIS

M. Ausloos, Ph. Bronlet. 2002-10-22. Strategy for investments from Zipf law(s). https://doi.org/10.1016/s0378-4371(02)01845-9

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