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 |
|---|---|
| 1. Verfasser: | |
| Weitere Verfasser: | , , , , |
| Format: | Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1999
|
| Zugriff auf das übergeordnete Werk: | Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics |
| Schlagworte: | Journal Article |
| Zusammenfassung: | 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 of the volatility is consistent with a power-law asymptotic behavior, characterized by an exponent mu approximately 3, similar to what is found for the distribution of price changes. The volatility distribution retains the same functional form for a range of values of T. Further, we study the volatility correlations by using the power spectrum analysis. Both methods support a power law decay of the correlation function and give consistent estimates of the relevant scaling exponents. Also, both methods show the presence of a crossover at approximately 1.5 days. In addition, we extend these results to the volatility of individual companies by analyzing a data base comprising all trades for the largest 500 U.S. companies over the two-year period Jan. 1994 to Dec. 1995 |
|---|---|
| Beschreibung: | Date Completed 12.07.2002 Date Revised 28.07.2019 published: Print Citation Status PubMed-not-MEDLINE |
| ISSN: | 1063-651X |