Reference : The n-Zipf analysis of financial data series and biased data series
Scientific journals : Article
Physical, chemical, mathematical & earth Sciences : Physics
http://hdl.handle.net/2268/18019
The n-Zipf analysis of financial data series and biased data series
English
Vandewalle, Nicolas mailto [Université de Liège - ULg > Département de physique > Physique statistique >]
Ausloos, Marcel mailto [Université de Liège - ULg > Département de physique > Physique statistique appliquée et des matériaux - S.U.P.R.A.S. >]
1-Jun-1999
Physica A: Statistical Mechanics and its Applications
268
1-2
240-249
Yes (verified by ORBi)
0378-4371
[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".
Researchers ; Professionals ; Students
http://hdl.handle.net/2268/18019

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