Statistical properties of the volatility of price fluctuations.

@article{Liu1999StatisticalPO,
  title={Statistical properties of the volatility of price fluctuations.},
  author={Yingjie Liu and P. Gopikrishnan and Pierre Cizeau and Martin Meyer and Chung-Kang Peng and Harry Eugene Stanley},
  journal={Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics},
  year={1999},
  volume={60 2 Pt A},
  pages={
          1390-400
        }
}
  • Y. Liu, P. Gopikrishnan, +3 authors H. Stanley
  • Published 1999
  • Mathematics, Medicine, Physics, Economics
  • Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics
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… Expand
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