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.
Physica A Statistical Mechanics and its Applications
- Pub Date:
- February 1997
- Condensed Matter - Statistical Mechanics;
- Quantitative Finance - Statistical Finance
- 6 pages, 2 figures