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arXiv physics/0504210physics.soc-phq-fin.ST
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从广义(m,2)-Zipf定律的投资模拟中我们能看到什么?

What can we see from Investment Simulation based on Generalized (m,2)-Zipf law?

Hokky Situngkir, Yohanes Surya

摘要:

本文回顾了基于广义(m,2)-Zipf定律的投资模拟,给出了金融时间序列中野性的一个有趣的刻画。对每个时间序列的显性策略的研究表明,在较大时间尺度上占优势的长词在较小时间尺度上占优势的短词,反之亦然。此外,表示长期野生性的基础上的持久性在短期趋势和记忆表示的特定长度的单词,我们可以看到野生历史波动的时间序列数据处理Zipf策略。

英文摘要:

The paper revisits the investment simulation based on strategies exhibited by Generalized (m,2)-Zipf law to present an interesting characterization of the wildness in financial time series. The investigations of dominant strategies on each specific time series shows that longer words dominant in larger time scale exhibit shorter dominant ones in smaller time scale and vice versa. Moreover, denoting the term wildness based on persistence over short term trend and memory represented by particular length of words, we can see how wild historical fluctuations over time series data coped with the Zipf strategies.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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