Related papers: Turbulence and finance?
In recent works, we proposed a hypothesis, according to which turbulence in gases is created by the mean field effect of an intermolecular potential. We discovered that, in a numerically simulated inertial flow, turbulent solutions indeed…
A hydrodynamic model of active, low Reynolds number suspensions, shows the emergence of an asymptotic state with a universal spectral scaling and non-Gaussian (intermittent) fluctuations in the velocity field. Such states arise when these…
We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…
The correlated stochastic volatility models constitute a natural extension of the Black and Scholes-Merton framework: here the volatility is not a constant, but a stochastic process correlated with the price log-return one. At present,…
We study the intraday behaviour of the statistical moments of the trading volume of the blue chip equities that composed the Dow Jones Industrial Average index between 2003 and 2014. By splitting that time interval into semesters, we…
The understanding of fluid turbulence has considerably progressed in recent years. The application of the methods of statistical mechanics to the description of the motion of fluid particles, i.e. to the Lagrangian dynamics, has led to a…
In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock…
The effect of large scales on the statistics and dynamics of turbulent fluctuations is studied using data from high resolution direct numerical simulations. Three different kinds of forcing, and spatial resolutions ranging from 256^3 to…
We investigate the statistical properties, based on numerical simulations and analytical calculations, of a recently proposed stochastic model for the velocity field of an incompressible, homogeneous, isotropic and fully developed turbulent…
In this paper we explore the specific role of randomness in financial markets, inspired by the beneficial role of noise in many physical systems and in previous applications to complex socio- economic systems. After a short introduction, we…
The majority of practical flows, particularly those flows in applications of importance to transport, distribution and climate, are turbulent and as a result experience complex three-dimensional motion with increased drag compared with the…
Realization of uncertainty of prices is captured by volatility, that is the tendency of prices to vary along a period of time. This is generally measured as standard deviation of daily returns. In this paper we propose and investigate the…
Elastic turbulence is a spatially and temporally disordered flow state appearing in viscoelastic fluids at vanishing fluid inertia and large elasticity. The resulting flows have broad technological interest, particularly to enhance mixing…
We study the phenomenon of turbulence from the point of view of statistical physics. We discuss what makes the turbulent states different from the thermodynamic equilibrium and give the turbulent analog of the partition function. Then,…
Energy dynamics calculations in a 3D fluid simulation of drift wave turbulence in the linear Large Plasma Device (LAPD) [W. Gekelman et al., Rev. Sci. Inst. 62, 2875 (1991)] illuminate processes that drive and dissipate the turbulence.…
Using high-frequency time series of stock prices and share volumes sizes from January 2002-May 2009, this paper investigates whether the effects of the onset of high-frequency trading, most prominent since 2005, are apparent in the dynamics…
An Entropic Dynamics of exchange rates is laid down to model the dynamics of foreign exchange rates, FX, and European Options on FX. The main objective is to represent an alternative framework to model dynamics. Entropic inference is an…
The evolution of surface gravity waves is driven by nonlinear interactions that trigger an energy cascade similarly to the one observed in hydrodynamic turbulence. This process, known as wave turbulence, has been found to display anomalous…
This paper examines a semi-analytical approach for pricing American options in time-inhomogeneous models characterized by negative interest rates (for equity/FX) or negative convenience yields (for commodities/cryptocurrencies). Under such…
Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…