Statistical properties of the volatility of price fluctuations Export

@article{citeulike:557288, abstract = {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 Δt. 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 μ≈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.}, author = {Yanhui}, citeulike-article-id = {557288}, citeulike-linkout-0 = {http://prola.aps.org.ezp1.harvard.edu/abstract/PRE/v60/i2/p1390_1}, journal = {Physical Review Letters}, keywords = {finance, volatility}, number = {2}, posted-at = {2006-03-20 20:19:55}, priority = {2}, title = {Statistical properties of the volatility of price fluctuations}, url = {http://prola.aps.org.ezp1.harvard.edu/abstract/PRE/v60/i2/p1390_1}, volume = {60} }

TY - JOUR ID - citeulike:557288 L3 - citeulike-article-id:557288 N2 - 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 Δt. 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 μ≈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. IS - 2 JF - Physical Review Letters TI - Statistical properties of the volatility of price fluctuations VL - 60 KW - finance KW - volatility AU - Yanhui UR - http://prola.aps.org.ezp1.harvard.edu/abstract/PRE/v60/i2/p1390_1 ER -