731 citations · 1.3k across the 3 of their papers we have counts for
3 papers
The statistical properties of the volatility of price fluctuations
Yanhui Liu, Parameswaran Gopikrishnan, Pierre Cizeau +3
We study the statistical properties of volatility---a measure of how much the market is likely to fluctuate. We estimate the volatility by the local average of the absolute price c…
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…
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…