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