Related papers: Turbulence and finance?
We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probability wave distributions in which we use…
We investigate the large-volatility dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after large volatilities is characterized by a…
The breaking of detailed balance, the symmetry between forward and backward probability transition between two states, is crucial to understand irreversible systems. In hydrodynamic turbulence, a far-from equilibrium system, we observe a…
We investigate the large-fluctuation dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after the large fluctuations is characterized by…
The volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its popularity on trading floors, the volatility is unobservable…
The drift burst hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent U.S. equity and treasury flash crashes can be viewed as two high-profile manifestations of such…
The financial market is nonpredictable, as according to the Bachelier, the mathematical expectation of the speculator is zero. Nevertheless, we observe in the price fluctuations the two distinct scales, short and long time. Behaviour of a…
Intermittency in fluid turbulence can be evidentiated through the analysis of Probability Distribution Functions (PDF) of velocity fluctuations, which display a strong non-gaussian behavior at small scales. In this paper we investigate the…
Arguably the most important problem in quantitative finance is to understand the nature of stochastic processes that underlie market dynamics. One aspect of the solution to this problem involves determining characteristics of the…
Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. A recently proposed model (by Ilinski et…
We consider a process $X_t$, which is observed on a finite time interval $[0,T]$, at discrete times $0,\Delta_n,2\Delta_n,\ldots.$ This process is an It\^{o} semimartingale with stochastic volatility $\sigma_t^2$. Assuming that $X$ has…
The universality of intermittency in hydrodynamic turbulence is considered based on a recent model for the velocity gradient tensor evolution. Three possible versions of the model are investigated differing in the assumed correlation…
This paper shows that jumps in financial asset prices are often erroneously identified and are, in fact, rare events accounting for a very small proportion of the total price variation. We apply new econometric techniques to a comprehensive…
One of the major issues studied in finance that has always intrigued, both scholars and practitioners, and to which no unified theory has yet been discovered, is the reason why prices move over time. Since there are several well-known…
We investigate the statistics of turbulence in emulsions of two-immiscible fluids of same density. We compute for the first time velocity increments between points conditioned to be located in the same phase or in different phases and…
Turbulence is known to show intermittency. That is, statistical properties vary with the length scale in a way not accounted for by statistical similarity where dimensionless ratios of moments are constant. Intermittency occurs even in the…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
A dissipation rate, which grows faster than any power of the wave number in Fourier space, may be scaled to lead a hydrodynamic system {\it actually} or {\it potentially} converge to its Galerkin truncation. Actual convergence we name for…
It has long been conjectured that, in three dimensional turbulence, velocity modes at scales larger than the forcing scale follow equilibrium dynamics. Recent numerical and experimental evidence show that such modes share the same mean…
Collective phenomena with universal properties have been observed in many complex systems with a large number of components. Here we present a microscopic model of the emergence of scaling behavior in such systems, where the interaction…