TY - JOUR
T1 - Econophysics
T2 - Proceedings of the 1998 Europhysics Conference on Computational Physics (CCP 1998)
AU - Amaral, L. A N
AU - Cizeau, P.
AU - Gopikrishnan, P.
AU - Liu, Y.
AU - Meyer, M.
AU - Peng, C. K.
AU - Stanley, H. E.
N1 - Funding Information:
We thank D. Canning, S. Havlin, R. Mantegna, M. Salinger, and S. Zapperi for very helpful discussions through the course of this work, and DFG, NIH, and NSF for financial support.
PY - 1999/9
Y1 - 1999/9
N2 - We address a current question in econophysics: Are fluctuations in economic indices correlated? To this end, we analyze 1-minute data on a stock index, the Standard and Poor index of the 500 largest stocks. We extend the 6-year data base studied by Mantegna and Stanley by including the 13 years 1984-1996 inclusive, with a recording frequency of 15 seconds. The total number of data points in this 13 years period exceed 4.5 million, which allows for a very detailed statistical analysis. We find that the fluctuations in the volatility are correlated, and that the correlations are well described by a power law. We also briefly describe some recent scaling results in economics, specifically some surprising features that appear to be common to the growth rates of business firms, countries, research budgets, and bird populations.
AB - We address a current question in econophysics: Are fluctuations in economic indices correlated? To this end, we analyze 1-minute data on a stock index, the Standard and Poor index of the 500 largest stocks. We extend the 6-year data base studied by Mantegna and Stanley by including the 13 years 1984-1996 inclusive, with a recording frequency of 15 seconds. The total number of data points in this 13 years period exceed 4.5 million, which allows for a very detailed statistical analysis. We find that the fluctuations in the volatility are correlated, and that the correlations are well described by a power law. We also briefly describe some recent scaling results in economics, specifically some surprising features that appear to be common to the growth rates of business firms, countries, research budgets, and bird populations.
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U2 - 10.1016/S0010-4655(99)00301-X
DO - 10.1016/S0010-4655(99)00301-X
M3 - Conference article
AN - SCOPUS:0033184844
VL - 121
SP - 145
EP - 152
JO - Computer Physics Communications
JF - Computer Physics Communications
SN - 0010-4655
Y2 - 2 September 1998 through 5 September 1998
ER -