Strategy for investments from Zipf law(s)
arXiv:cond-mat/0210499 · doi:10.1016/S0378-4371(02)01845-9
Abstract
We have applied the Zipf method to extract the 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.
submitted to Physica A;Proceedings ICE02, Bali, Aug.28-31, 2002