Precise (m, k)-Zipf diagram analysis of mathematical and financial time series when m=6, k=2

被引:12
作者
Ausloos, M
Ivanova, K
机构
[1] Penn State Univ, Dept Meteorol, University Pk, PA 16802 USA
[2] Univ Liege, SUPRAS, B-4000 Liege, Belgium
[3] Univ Liege, Inst Phys B5, GRASP, B-4000 Liege, Belgium
[4] Bulgarian Acad Sci, Inst Elect, BU-1784 Sofia, Bulgaria
来源
PHYSICA A | 1999年 / 270卷 / 3-4期
关键词
fractal non linear dynamics; time series analysis; Brownian motion; classical statistical mechanics;
D O I
10.1016/S0378-4371(99)00178-8
中图分类号
O4 [物理学];
学科分类号
0702 ;
摘要
For studying short-range time correlations in financial signals, we have envisaged to combine the Zipf method and the i-variability diagrams (VD) as useful tools. The 2-VD describes the local curvature short-range correlations. We have resulted into ranking the 2-VD data according to their frequency of occurrence. After having tested the ideas and estimated the error bars on a Brownian motion signal, we have examined two stocks, i.e. SGP and OXHP closing price and volume of transaction long series. A precise (m,k)-Zipf diagram analysis when m = 6, k = 2 has been shown to lead to a non-immediate information on the signal behavior, even taking into account error bars. The set of curvatures (translated into "words") indicates a Brownian motion-like set for the closing price local curvature of such signals over a 6 day span. Moreover, it has been shown that the conjecture about a simple relationship between the Hurst exponent H and the zeta exponent of Zipf plots does not seem to be substantiated here. (C) 1999 Elsevier Science B.V. All rights reserved.
引用
收藏
页码:526 / 542
页数:17
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