Related papers: Turbulence and finance?
In this note we investigate the consistency under inversion of jump diffusion processes in the Foreign Exchange (FX) market. In other terms, if the EUR/USD FX rate follows a given type of dynamics, under which conditions will USD/EUR follow…
Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes process in conjunction with a bivariate jump diffusion. A state space representation is used to link observed returns, plus nonparametric measures of…
In natural settings, intermittent dynamics are ubiquitous and often arise from a coupling between external driving and spatial heterogeneities. A well-known example is the generation of transient, turbulent puffs of fluid through a pipe…
We present a systematic study of various statistical characteristics of high-frequency returns from the foreign exchange market. This study is based on six exchange rates forming two triangles: EUR-GBP-USD and GBP-CHF-JPY. It is shown that…
Identifying behavior that is relatively invariant under different conditions is a challenging task in far-from-equilibrium complex systems. As an example of how the existence of a semi-invariant signature can be masked by the heterogeneity…
Turbulence is prevalent in nature and industry, from large-scale wave dynamics to small-scale combustion nozzle sprays. In addition to the multi-scale nonlinear complexity and both randomness and coherent structures in its dynamics,…
Understanding the structure of financial markets deals with suitably determining the functional relation between financial variables. In this respect, important variables are the trading activity, defined here as the number of trades $N$,…
The purpose of this contribution is to summarize and discuss recent advances regarding the onset of turbulence in shear flows. The absence of a clear cut instability mechanism, the spatio-temporal intermittent character and extremely long…
We performed high resolution numerical simulations of homogenous and isotropic compressible turbulence, with an average 3D Mach number close to 0.3. We study the statistical properties of intermittency for velocity, density and entropy. For…
This note continues investigation of randomness-type properties emerging in idealized financial markets with continuous price processes. It is shown, without making any probabilistic assumptions, that the strong variation exponent of…
A global quantity, regardless of its precise nature, will often fluctuate according to a Gaussian limit distribution. However, in highly correlated systems, other limit distributions are possible. We have previously calculated one such…
We characterize statistical properties of the flow field in developed turbulence using concepts from stochastic thermodynamics. On the basis of data from a free air-jet experiment, we demonstrate how the dynamic fluctuations induced by…
We develop a framework especially suited to the autocorrelation properties observed in financial times series, by borrowing from the physical picture of turbulence. The success of our approach as applied to high frequency foreign exchange…
In this article we look at stochastic processes with uncertain parameters, and consider different ways in which information is obtained when carrying out observations. For example we focus on the case of a the random evolution of a traded…
Biondi et al. (2012) develop an analytical model to examine the emergent dynamic properties of share market price formation over time, capable to capture important stylized facts. These latter properties prove to be sensitive to regulatory…
We find strong evidence for intermittency in forced two dimensional (2D) turbulence in a flowing soap film experiment. In the forward enstrophy cascade the structure function scaling exponents are nearly indistinguishable from 3D studies.…
In this paper we show similarities between turbulence and financial systems. Motivated by similarities between the two systems, we construct a multiscale model for hierarchical financial structures that exhibits a constant cascade of wealth…
Distributions derived from non-extensive Tsallis statistics are closely connected with dynamics described by a nonlinear Fokker-Planck equation. The combination shows promise in describing stochastic processes with power-law distributions…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
We analyze waiting times for price changes in a foreign currency exchange rate. Recent empirical studies of high frequency financial data support that trades in financial markets do not follow a Poisson process and the waiting times between…