Strategy for investments from Zipf law(s)

Abstract

We have applied the Zipf method to extract the ${\zeta }^{\prime }$ 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.

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

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• Scaling analysis of multivariate intermittent time series
• Scaling analysis of time series of daily prices from stock markets of transitional economies in the Western Balkans
• On the Zipf strategy for short-term investments in WIG20 futures