Simulation and Statistical Analysis of Market Return Fluctuation by Zipf Method

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 fluct...

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Main Authors:	Yalong Guo, Jun Wang
Format:	Article
Language:	English
Published:	Hindawi Limited 2011-01-01
Series:	Mathematical Problems in Engineering
Online Access:	http://dx.doi.org/10.1155/2011/253523

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spelling	doaj-2cd7232c878b472bacdbbafc51ae5d152020-11-24T22:45:34ZengHindawi LimitedMathematical Problems in Engineering1024-123X1563-51472011-01-01201110.1155/2011/253523253523Simulation and Statistical Analysis of Market Return Fluctuation by Zipf MethodYalong Guo0Jun Wang1Institute of Financial Mathematics and Financial Engineering, College of Science, Beijing Jiaotong University, Beijing 100044, ChinaInstitute of Financial Mathematics and Financial Engineering, College of Science, Beijing Jiaotong University, Beijing 100044, ChinaWe 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.http://dx.doi.org/10.1155/2011/253523
collection	DOAJ
language	English
format	Article
sources	DOAJ
author	Yalong Guo Jun Wang
spellingShingle	Yalong Guo Jun Wang Simulation and Statistical Analysis of Market Return Fluctuation by Zipf Method Mathematical Problems in Engineering
author_facet	Yalong Guo Jun Wang
author_sort	Yalong Guo
title	Simulation and Statistical Analysis of Market Return Fluctuation by Zipf Method
title_short	Simulation and Statistical Analysis of Market Return Fluctuation by Zipf Method
title_full	Simulation and Statistical Analysis of Market Return Fluctuation by Zipf Method
title_fullStr	Simulation and Statistical Analysis of Market Return Fluctuation by Zipf Method
title_full_unstemmed	Simulation and Statistical Analysis of Market Return Fluctuation by Zipf Method
title_sort	simulation and statistical analysis of market return fluctuation by zipf method
publisher	Hindawi Limited
series	Mathematical Problems in Engineering
issn	1024-123X 1563-5147
publishDate	2011-01-01
description	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.
url	http://dx.doi.org/10.1155/2011/253523
work_keys_str_mv	AT yalongguo simulationandstatisticalanalysisofmarketreturnfluctuationbyzipfmethod AT junwang simulationandstatisticalanalysisofmarketreturnfluctuationbyzipfmethod
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Simulation and Statistical Analysis of Market Return Fluctuation by Zipf Method

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