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MANAGING BOTH SIGN AND SIZE OF FLUCTUATIONS WITHIN THEn-ZIPF FRAMEWORK

Author

Listed:
  • N. VANDEWALLE

    (GRASP, Institut de Physique B5, Université de Liège, B-4000 Liège, Belgium)

  • F. BRISBOIS

    (GRASP, Institut de Physique B5, Université de Liège, B-4000 Liège, Belgium)

  • P. H. LEFEBVRE

    (GRASP, Institut de Physique B5, Université de Liège, B-4000 Liège, Belgium)

Abstract

We have performed a Zipf-like analysis of financial data. We emphasize new results: (i) the existence of long-range correlations for the sign of daily fluctuations of selected size; (ii) the existence of patterns and correlations in the world major trading places. The Zipf analysis allows also to measure the "domino effect" between trading places in the world.

Suggested Citation

  • N. Vandewalle & F. Brisbois & P. H. Lefebvre, 2000. "MANAGING BOTH SIGN AND SIZE OF FLUCTUATIONS WITHIN THEn-ZIPF FRAMEWORK," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 409-414.
    • Handle: RePEc:wsi:ijtafx:v:03:y:2000:i:03:n:s0219024900000280
    DOI: 10.1142/S0219024900000280
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