Related papers: Turbulence and finance?
This work studies the symmetry between colloidal dynamics and the dynamics of the Euro--US Dollar currency exchange market (EURUSD). We consider the EURUSD price in the time range between 2001 and 2015, where we find significant qualitative…
We examine the out-of-equilibrium phase reported by Plerou {\it et. al.} in Nature, {\bf 421}, 130 (2003) using the data of the New York stock market (NYSE) between the years 2001 --2002. We find that the observed two phase phenomenon is an…
This dissertation discusses the intermitency phenomenon in three models of turbulence, employing analytical and numerical techniques in the analysis of stochastic processes and the probability distributions which they induce. The initial…
Turbulent flows in three dimensions are characterized by the transport of energy from large to small scales through the energy cascade. Since the small scales are the result of the nonlinear dynamics across the scales, they are often…
The local statistical and geometric structure of three-dimensional turbulent flow can be described by properties of the velocity gradient tensor. A stochastic model is developed for the Lagrangian time evolution of this tensor, in which the…
Turbulent flows are notoriously difficult to describe and understand based on first principles. One reason is that turbulence contains highly intermittent bursts of vorticity and strain-rate with highly non-Gaussian statistics.…
In financial markets, greater volatility is usually considered synonym of greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price returns exhibit only small fluctuations. To…
We conclude from an analysis of high resolution NYSE data that the distribution of the traded value $f_i$ (or volume) has a finite variance $\sigma_i$ for the very large majority of stocks $i$, and the distribution itself is non-universal…
There is a clear distinction between simple laminar and complex turbulent fluids. But in some cases, as for the nocturnal planetary boundary layer, a stable and well-ordered flow can develop intense and sporadic bursts of turbulent activity…
The problem of intermittency in developed hydrodynamic turbulence is considered. Explicit formulae taking into account effects of finite size of the inertial range are presented for the whole set of intermittency exponents. The formulae fit…
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of…
A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such…
We shortly review the statistical properties of the escape times, or hitting times, for stock price returns by using different models which describe the stock market evolution. We compare the probability function (PF) of these escape times…
Many fluid-dynamical systems met in nature are quasi-two-dimensional: they are constrained to evolve in approximately two dimensions with little or no variation along the third direction. This has a drastic effect in the flow evolution…
Motivated by how transaction amount constrain trading volume and price volatility in stock market, we, in this paper, study the relation between volume and price if amount of transaction is given. We find that accumulative trading volume…
Investigations of inverse statistics (a concept borrowed from turbulence) in stock markets, exemplified with filtered Dow Jones Industrial Average, S&P 500, and NASDAQ, have uncovered a novel stylized fact that the distribution of exit time…
The problem of non-stationarity in financial markets is discussed and related to the dynamic nature of price volatility. A new measure is proposed for estimation of the current asset volatility. A simple and illustrative explanation is…
The financial market and turbulence have been broadly compared on account of the same quantitative methods and several common stylized facts they shared. In this paper, the She-Leveque (SL) hierarchy, proposed to explain the anomalous…
In this perspective, we consider the development of statistical hydrodynamics, focusing on the way in which the intrinsic stochasticity of turbulent phenomena was identified and is being explored. A major purpose of our discussion is to…
Active fluids exhibit spontaneous flows with complex spatiotemporal structure, which have been observed in bacterial suspensions, sperm cells, cytoskeletal suspensions, self-propelled colloids, and cell tissues. Despite occurring in the…