Related papers: Turbulence and finance?
We consider transition to strong turbulence in an infinite fluid stirred by a gaussian random force. The transition is {\bf defined} as a first appearance of anomalous scaling of normalized moments of velocity derivatives (dissipation…
Empirical diagnosis of stability has received considerable attention, mostly focused on variance metrics for early warning signals of abrupt system change. Despite this, the theoretical foundation and application has been limited to…
Recent investigations of turbulent circulation fluctuations have uncovered substantial insights into the statistical organization of flow structures and revealed unexpected geometric features of turbulent intermittency. Of particular…
It is widely accepted that there is strong persistence in the volatility of financial time series. The origin of the observed persistence, or long-range memory, is still an open problem as the observed phenomenon could be a spurious effect.…
This paper presents a new theory of turbulence in time-independent non-Newtonian fluids. The wall layer is modelled in terms of unsteady exchange of viscous momentum between the wall and the main stream, following the classic visualisation…
We study the interaction between returns and order flow imbalances in the S&P 500 E-mini futures market using a structural VAR model identified through heteroskedasticity. The model is estimated at one-second frequency for each 15-minute…
We report an experimental and numerical study of turbulent fluid motion in a free surface. The flow is realized experimentally on the surface of a tank filled with water stirred by a vertically oscillating grid positioned well below the…
The velocity circulation, a measure of the rotation of a fluid within a closed path, is a fundamental observable in classical and quantum flows. It is indeed a Lagrangian invariant in inviscid classical fluids. In quantum flows, circulation…
The modeling of turbulence, whether it be numerical or analytical, is a difficult challenge. Turbulence is amenable to analysis with linear theory if it is subject to rapid distortions, i.e., motions occurring on a time scale that is short…
In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian…
Never is the difference between thermal equilibrium and turbulence so dramatic, as when a quadratic invariant makes the equilibrium statistics exactly Gaussian with independently fluctuating modes. That happens in two very different yet…
In incompressible and periodic statistically stationary turbulence, exchanges of turbulent energy across scales and space are characterised by very intense and intermittent spatio-temporal fluctuations around zero of the time-derivative…
This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their…
Prices in financial markets exhibit extreme jumps far more often than can be accounted for by external news. Further, magnitudes of price changes are correlated over long times. These so called stylized facts are quantified by scaling laws…
In this article, I would like to express some of my views on the nature of turbulence. These views are mainly drawn from the author's recent results on chaos in partial differential equations \cite{Li04}. Fluid dynamicists believe that…
What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made,…
Non-Newtonian fluids have a viscosity that varies with applied stress. Elastoviscoplastic fluids, the elastic, viscous and plastic properties of which are interconnected in a non-trivial way, belong to this category. We have performed…
We consider a stochastic volatility asset price model in which the volatility is the absolute value of a continuous Gaussian process with arbitrary prescribed mean and covariance. By exhibiting a Karhunen-Lo\`{e}ve expansion for the…
Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…
Using experimental transverse velocities data for very high Reynolds number turbulence, we suggest a model describing both formation of intermittency and asymmetry of turbulence. The model, called "bump-model" is a modification of…