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cond-mat.stat-mech1997★ 207 cited
Volatility distribution in the S&P500 Stock Index
Pierre Cizeau, Yanhui Liu, Martin Meyer +2
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 de…
cond-mat.stat-mech1997★ 316 cited
Correlations in Economic Time Series
Yanhui Liu, Pierre Cizeau, Martin Meyer +2
The correlation function of a financial index of the New York stock exchange, the S&P 500, is analyzed at 1 min intervals over the 13-year period, Jan 84 -- Dec 96. We quantify the…