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The n-Zipf analysis of financial data series and biased data series
Vandewalle, Nicolas; Ausloos, Marcel
1999In Physica A. Statistical Mechanics and its Applications, 268 (1-2), p. 240-249
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Abstract :
[en] The Zipf analysis of n-words in random sequences and financial data series like the stock prices of a company has been performed. The bias as well as the resulting staircase structure of the Zipf plots are taken into account in the subsequent analysis. It is found that correlations for the sign of the fluctuations as well as for the amplitude of the fluctuations can be found in financial time series. The relevance of the n-Zipf analysis to financial sequences is underlined to be only weakly predictive for a "binary transformation level", but could be more interesting for "higher translation levels".
Disciplines :
Physics
Author, co-author :
Vandewalle, Nicolas  ;  Université de Liège - ULiège > Département de physique > Physique statistique
Ausloos, Marcel ;  Université de Liège - ULiège > Département de physique > Physique statistique appliquée et des matériaux - S.U.P.R.A.S.
Language :
English
Title :
The n-Zipf analysis of financial data series and biased data series
Publication date :
01 June 1999
Journal title :
Physica A. Statistical Mechanics and its Applications
ISSN :
0378-4371
eISSN :
1873-2119
Publisher :
Elsevier, Netherlands
Volume :
268
Issue :
1-2
Pages :
240-249
Peer reviewed :
Peer Reviewed verified by ORBi
Available on ORBi :
since 07 August 2009

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