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
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: | https://repository.cshl.edu/id/eprint/28769 |
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