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
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
Journal title :
Physica A Statistical Mechanics and its Applications