Related papers: Turbulence and finance?
This paper proposes a novel model of financial prices where: (i) prices are discrete; (ii) prices change in continuous time; (iii) a high proportion of price changes are reversed in a fraction of a second. Our model is analytically…
Equal-time scaling exponents in fully developed turbulence typically exhibit non anomalous scaling in the inverse cascade of two-dimensional (2D) turbulence and anomalous scaling in three dimensions. We demonstrate that multiscaling is not…
Recent results suggest that highly active, chaotic, non-equilibrium states of living fluids might share much in common with high Reynolds number, inertial turbulence. We now show, by using a hydrodynamical model, the onset of intermittency…
In this paper we propose a new model for volatility fluctuations in financial time series. This model relies on a non-stationary gaussian process that exhibits aging behavior. It turns out that its properties, over any finite time interval,…
Financial markets can be seen as complex systems in non-equilibrium steady state, one of whose most important properties is the distribution of price fluctuations. Recently, there have been assertions that this distribution is qualitatively…
To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures…
We analyze particle velocity fluctuations in a simulated granular system subjected to homogeneous quasistatic shearing. We show that these fluctuations share the following scaling characteristics of fluid turbulence in spite of their…
A theory which describes the share price evolution at financial markets as a continuous-time random walk has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density…
Cellular suspensions such as dense bacterial flows exhibit a turbulence-like phase under certain conditions. We study this phenomenon of "active turbulence" statistically by using numerical tools. Following Wensink et al. [Proc. Natl. Acad.…
The conventional formal tool to detect effects of the financial persistence is in terms of the Hurst exponent. A typical corresponding result is that its value comes out close to 0.5, as characteristic for geometric Brownian motion, with at…
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency data and is robust to market microstructure frictions. For the test, local…
We revisit the issue of Lagrangian irreversibility in the context of recent results [Xu, et al., PNAS, 111, 7558 (2014)] on flight-crash events in turbulent flows and show how extreme events in the Eulerian dissipation statistics are…
Volatility is the canonical measure of financial risk, a role largely inherited from Modern Portfolio Theory. Yet, its universality rests on restrictive efficiency assumptions that render volatility, at best, an incomplete proxy for true…
Understanding the dynamics of material objects advected by turbulent flows is a long standing question in fluid dynamics. In this perspective article we focus on the characterization of the statistical properties of non-interacting…
We introduce a class of randomly time-changed fast mean-reverting stochastic volatility models and, using spectral theory and singular perturbation techniques, we derive an approximation for the prices of European options in this setting.…
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…
We study the dynamics of inertial particles in turbulence using datasets obtained from both direct numerical simulations and laboratory experiments of turbulent swirling flows. By analyzing time series of particle velocity increments at…
Elastic turbulence can lead to to increased flow resistance, mixing and heat transfer. Its control -- either suppression or promotion -- has significant potential, and there is a concerted ongoing effort by the community to improve our…
Using available data from the New York stock market (NYSM) we test four different bi-parametric models to fit the correspondent volume-price distributions at each $10$-minute lag: the Gamma distribution, the inverse Gamma distribution, the…
We formulate multifractal models for velocity differences and gradients which describe the full range of length scales in turbulent flow, namely: laminar, dissipation, inertial, and stirring ranges. The models subsume existing models of…