Work

Simulation and Statistical Analysis of Market Return Fluctuationby Zipf Method

Year: 2011

Type: article

Abstract: We investigate the fluctuation behaviors of financial stock markets by Zipf analysis. In the present paper, the empirical research is made to describe ensembles and specifics of stock price returns for global stock indices, and the corresponding Zipf distributions are given. First we study the fluctuation behavior of global stock markets by (m, k)‐Zipf method. Then we consider a dynamic stock price model, and we analyze the absolute frequencies and the relative frequencies for this financial model. Further, the Zipf distributions of returns for SSE Composite Index are studied for different time scales.

Source: Mathematical Problems in Engineering

DOI: 10.1155/2011/253523

Authors: Yalong Guo, Jun Wang

Institution: Beijing Jiaotong University

Language: English

Topic: Complex Systems and Time Series Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $2,550

Funder: National Natural Science Foundation of China