Fluctuations and their correlations in econophysics

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

Fluctuations and their correlations in econophysics

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

Chemical and Biological Engineering

Research output: Chapter in Book/Report/Conference proceeding › Chapter

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 language	English
Title of host publication	Anomalous Diffusion: From Basics to Applications
Editors	R Kutner, A Pekalski, K Sznajd-Weron
Place of Publication	Berlin
Publisher	Spinger
State	Published - 1999

Cite this

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title = "Fluctuations and their correlations in econophysics",

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.",

author = "Liu, {H Y} and Amaral, {Luis AN} and P Cizeau and P Gopikrishnan and M Meyer and Peng, {C K} and Stanley, {H E}",

year = "1999",

language = "English",

editor = "R Kutner and A Pekalski and K Sznajd-Weron",

booktitle = "Anomalous Diffusion: From Basics to Applications",

publisher = "Spinger",

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TY - CHAP

T1 - Fluctuations and their correlations in econophysics

AU - Liu, H Y

AU - Amaral, Luis AN

AU - Cizeau, P

AU - Gopikrishnan, P

AU - Meyer, M

AU - Peng, C K

AU - Stanley, H E

PY - 1999

Y1 - 1999

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 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.

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 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.

M3 - Chapter

BT - Anomalous Diffusion: From Basics to Applications

A2 - Kutner, R

A2 - Pekalski, A

A2 - Sznajd-Weron, K

PB - Spinger

CY - Berlin

ER -

Fluctuations and their correlations in econophysics

Abstract

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