Year: 1997
Type: article
Abstract: A financial index of the New York stock exchange, the S&P500, is analyzed at 1 min intervals over the 13 yr period, January 84–December 96. We quantify the correlations of the absolute values of the index increment. We find that these correlations can be described by two different power laws with a crossover time tx ∼ 600 min. Detrended fluctuation analysis gives exponents α1 = 0.66 and α2 = 0.93 for t < tx and t > tx, respectively. Power spectrum analysis gives corresponding exponents β1 = 0.31 and β2 = 0.90 for f > fx and f < fx, respectively.
Authors: Yanhui Liu, Pierre Cizeau, Martin Meyer, C.-K. Peng, H. Eugene Stanley
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $3,550
OpenAlex ID: W2111417375