Volatility distribution in the S&P500 stock index

被引：170

作者：

Cizeau, P

Liu, YH

Meyer, M

Peng, CK

Stanley, HE

机构：

[1] BOSTON UNIV,CTR POLYMER STUDIES,BOSTON,MA 02215

[2] BOSTON UNIV,DEPT PHYS,BOSTON,MA 02215

[3] HARVARD UNIV,SCH MED,BETH ISRAEL DEACONESS MED CTR,BOSTON,MA 02215

来源：

PHYSICA A | 1997年 / 245卷 / 3-4期

关键词：

finance; volatility; S&P500; multiplicative processes;

D O I：

10.1016/S0378-4371(97)00417-2

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We study the volatility of the S&P500 stock index from 1984 to 1996 and find that the volatility distribution can be very well described by a log-normal function. Further, using detrended fluctuation analysis we show that the volatility is power-law correlated with Hurst exponent alpha congruent to 0.9.

引用

页码：441 / 445

页数：5

共 22 条

[1] A Theory of Intraday Patterns: Volume and Price Variability [J].