Fluctuations and their correlations in econophysics

H Y Liu, Luis AN Amaral, P Cizeau, P Gopikrishnan, M Meyer, C K Peng, H E Stanley

Research output: Chapter in Book/Report/Conference proceedingChapter

Abstract

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 g-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.
Original languageEnglish
Title of host publicationAnomalous Diffusion: From Basics to Applications
EditorsR Kutner, A Pekalski, K Sznajd-Weron
Place of PublicationBerlin
PublisherSpinger
StatePublished - 1999

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