Related papers: Turbulence and finance?
An intriguing link between a wide range of problems occurring in physics and financial engineering is presented. These problems include the evolution of small perturbations of linear flows in hydrodynamics, the movements of particles in…
The field of study of complex systems considers that the dynamics of complex systems are founded on universal principles that may be used to describe a great variety of scientific and technological approaches of different types of natural,…
In this paper, we study a simple hydrodynamical model showing abrupt flow reversals at random times. For a suitable range of parameters, we show that the dynamics of flow reversal is accurately described by stochastic differential…
We measure the influence of different time-scales on the dynamics of financial market data. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying…
Intermittency is an essential property of astrophysical fluids, which demonstrate an extended inertial range. As intermittency violates self-similarity of motions, it gets impossible to naively extrapolate the properties of fluid obtained…
In this paper we study the price dynamics in a simple model of financial markets with heterogeneous agents. We concentrate on how increases in the total number of active traders influences fluctuations of asset prices. We find that a…
Employing a recent technique which allows the representation of nonstationary data by means of a juxtaposition of locally stationary patches of different length, we introduce a comprehensive analysis of the key observables in a financial…
We consider a class of growth models and models of turbulence based on the randomly stirred fluid. The similarity between the predictions of these models, noted a decade earlier, is understood on the basis of a stochastic quantization…
Turbulence in superfluids depends crucially on the dissipative damping in vortex motion. This is observed in the B phase of superfluid 3He where the dynamics of quantized vortices changes radically in character as a function of temperature.…
The shape and tails of partial distribution functions (PDF) for a financial signal, i.e. the S&P500 and the turbulent nature of the markets are linked through a model encompassing Tsallis nonextensive statistics and leading to evolution…
Turbulence is ubiquitous in nonequilibrium systems, and it has been noted that even dense granular flows exhibit characteristics that are typical of turbulent flow, such as the power-law energy spectrum. However, studies on the…
We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volatility/intermittency when the data of interest are generated…
We study the fully-coupled dynamics between a fully-developed turbulent flow and an ensemble of immersed flexible fibers. We vary the concentration of the suspension, the mechanical properties and the length of the fibers in a vast…
We use insight from a model of earth tectonic plate movement to obtain a new understanding of the build up and release of stress in the price dynamics of the worlds stock exchanges. Nonlinearity enters the model due to a behavioral…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is investigated on the Chinese stock market using mean-variance analysis, fluctuation analysis and their generalizations to…
Fully-developed incompressible Navier-Stokes turbulence in three dimensions is a dissipative dynamical system that exhibits strong departure from absolute equilibrium. Nevertheless, several kinds of representation by Tsallis equilibria have…
We study the price dynamics of stocks traded in a financial market by considering the statistical properties both of a single time series and of an ensemble of stocks traded simultaneously. We use the $n$ stocks traded in the New York Stock…
We present the results of a numerical investigation of three-dimensional homogeneous and isotropic turbulence, stirred by a random forcing with a power law spectrum, $E_f(k)\sim k^{3-y}$. Numerical simulations are performed at different…
Stock price changes occur through transactions, just as diffusion in physical systems occurs through molecular collisions. We systematically explore this analogy and quantify the relation between trading activity - measured by the number of…