Stochastic processes with power-law stability and a crossover in power-law correlations

Podobnik, B., Grosse, I., Stanley, H. E. (December 2002) Stochastic processes with power-law stability and a crossover in power-law correlations. Physica A-Statistical Mechanics and Its Applications, 316 (1-4). pp. 153-159. ISSN 0378-4371

URL: http://www.sciencedirect.com/science/article/pii/S...
DOI: 10.1016/S0378-4371(02)01023-3

Abstract

Motivated by the goal of finding a more accurate description of the empirically observed dynamics of financial fluctuations, we propose a stochastic process that yields three statistical properties: (i) short-range autocorrelations in the index changes, (ii) long-range correlations in the absolute values of the index changes, with a crossover between two power-law regimes at approximately one week, and (iii) power-law stability in the tails of the probability distributions of the index changes. We find that this stochastic process can surprisingly well reproduce statistical properties observed in the high-frequency data of the S&P 500 stock index.

Item Type: Paper
Subjects: Investigative techniques and equipment
CSHL Authors:
Communities: CSHL labs > Zhang lab
Depositing User: Matt Covey
Date: December 2002
Date Deposited: 31 Oct 2013 20:58
Last Modified: 31 Oct 2013 20:58
URI: http://repository.cshl.edu/id/eprint/28769

Actions (login required)

Administrator's edit/view item Administrator's edit/view item
CSHL HomeAbout CSHLResearchEducationNews & FeaturesCampus & Public EventsCareersGiving