• Title of article

    Volatility distribution in the S&P500 stock index

  • Author/Authors

    Pierre Cizeau، نويسنده , , Yanhui Liu، نويسنده , , Martin Meyer، نويسنده , , C. -M. Peng، نويسنده , , H. Eugene Stanley، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 1997
  • Pages
    5
  • From page
    441
  • To page
    445
  • Abstract
    We study the volatility of the S&P500 stock index from 1984 to 1996 and find that the volatility distribution can be very well described by a log-normal function. Further, using detrended fluctuation analysis we show that the volatility is power-law correlated with Hurst exponent α 0.9.
  • Journal title
    Physica A Statistical Mechanics and its Applications
  • Serial Year
    1997
  • Journal title
    Physica A Statistical Mechanics and its Applications
  • Record number

    864918

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=864918