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On the Zipf strategy for short-term investments in WIG20 futures
Zipf law econophysics investment strategy long memory time series complex systems futures contracts
2011/8/17
Abstract: We apply the Zipf power law to financial time series of WIG20 index daily changes (open-close). Thanks to the mapping of time series signal into the sequence of 2k+1 'spin-like' states, wher...
Deduction of Initial Strategy Distributions of Agents in Mix-game Model
minority game mix-game prediction initial strategy distributions
2007/6/7
This paper reports the effort of deducing the initial strategy distributions of agents in mix-game model which is used to predict a real financial time series generated from a target financial market....