The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Statistical properties of the volatility of price fluctuations
Open accessAbstract
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.
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Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Efficient capital markets: A review of theory and empirical work
Fama, E. F. (1970) · The Journal of Finance · doi:10.2307/2325486 · Cited by 13,635
Cited by
Random matrix approach to cross correlations in financial data
Plerou, V., Gopikrishnan, P., Rosenow, B., Amaral, L. A. N., Guhr, T., & Stanley, H. E. (2002) · Physical Review E · doi:10.1103/physreve.65.066126 · Cited by 936
Self-citationPower Laws in Economics and Finance
Gabaix, X. (2009) · Annual Review of Economics · doi:10.1146/annurev.economics.050708.142940 · Cited by 907
Scaling of the distribution of fluctuations of financial market indices
Gopikrishnan, P., Plerou, V., Nunes Amaral, L. A., Meyer, M., & Stanley, H. E. (1999) · Physical Review E · doi:10.1103/physreve.60.5305 · Cited by 892
Self-citationPhysical approach to complex systems
Kwapień, J., & Drożdż, S. (2012) · Physics Reports · doi:10.1016/j.physrep.2012.01.007 · Cited by 517
Multifractal analysis of financial markets: a review
Jiang, Z.-Q., Xie, W.-J., Zhou, W.-X., & Sornette, D. (2019) · Reports on Progress in Physics · doi:10.1088/1361-6633/ab42fb · Cited by 423
Metadata
- Authors
- Liu, Y., Gopikrishnan, P., Cizeau, Meyer, Peng, & Stanley, H. E.
- Venue
- Physical Review E
- Publisher
- American Physical Society (APS)
- Published
- 1999-08-01
- Volume
- 60
- Issue
- 2
- Pages
- 1390-1400
- ISSN
- 1063-651X (ISSN-L)
- 1095-3787
- OpenAlex
- W2002286553
- Cited by
- 728
- References
- 2
- FWCI
- 69.74
- Type
- journal article
- Language
- en
- Open access
- green
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- Liu, Y., Gopikrishnan, P., Cizeau, Meyer, Peng, & Stanley, H. E. (1999). Statistical properties of the volatility of price fluctuations. Physical Review E. https://doi.org/10.1103/physreve.60.1390
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