Statistical properties of the volatility of price fluctuations
We study the statistical properties of volatility, measured by locally averaging over a time window T, the absolute value of price changes over a short time interval deltat. We analyze the S&P 500 stock index for the 13-year period Jan. 1984 to Dec. 1996. We find that the cumulative distribution...
| Veröffentlicht in: | Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics. - 1993. - 60(1999), 2 Pt A vom: 30. Aug., Seite 1390-400 |
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| 1. Verfasser: | |
| Weitere Verfasser: | , , , , |
| Format: | Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1999
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| Zugriff auf das übergeordnete Werk: | Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics |
| Schlagworte: | Journal Article |