Related papers: Turbulence and finance?
We propose and document the evidence for an analogy between the dynamics of granular counter-flows in the presence of bottlenecks or restrictions and financial price formation processes. Using extensive simulations, we find that the…
Turbulence -- ubiquitous in nature and engineering alike [1-5] -- is traditionally viewed as an intrinsically inertial phenomenon, emerging only when the Reynolds number (Re), which quantifies the ratio of inertial to dissipative forces…
We consider a market where many agents trade many different types of products with each other. We model development of collective modes in this market, and quantify these by fluctuations that scale with time with a Hurst exponent of about…
We confirm and substantially extend the recent empirical result of Andersen et al. \cite{Andersen2015}, where it is shown that the amount of risk $W$ exchanged in the E-mini S\&P futures market (i.e. price times volume times volatility)…
We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this…
The transitional and well-developed regimes of turbulent shear flows exhibit a variety of remarkable scaling laws that are only now beginning to be systematically studied and understood. In the first part of this article, we summarize…
Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…
We review the evidence that the erratic dynamics of markets is to a large extent of endogenous origin, i.e. determined by the trading activity itself and not due to the rational processing of exogenous news. In order to understand why and…
In this paper we explain the wild fluctuations of financial prices from the intrinsic amplifying feedback of speculative supply and demand. Formally, we show that an asset return follows a multiplicative random growth with exogenous input,…
Recent numerical explorations of extremely intense circulation fluctuations at high Reynolds number flows have brought to light novel aspects of turbulent intermittency. Vortex gas modeling ideas, introduced alongside such developments,…
The formation of price in a financial market is modelled as a chain of Ising spin with three fundamental figures of trading. We investigate the time behaviour of the model, and we compare the results with the real EURO/USD change rate. By…
We present the results of a numerical investigation of three-dimensional decaying turbulence with statistically homogeneous and anisotropic initial conditions. We show that at large times, in the inertial range of scales: (i) isotropic…
The statistical properties of turbulent flows are fundamentally different from those of systems at equilibrium due to the presence of an energy flux from the scales of injection to those where energy is dissipated by the viscous forces: a…
We investigate the behavior of systems of interacting diffusion processes, known as volatility-stabilized market models in the mathematical finance literature, when the number of diffusions tends to infinity. We show that, after an…
Turbulent flows frequently accompany physical, chemical and biological processes, such as mixing, two-phase flow, combustion and even foraging by bacteria and plankton larvae, all of which are in principle subject to thermal fluctuations…
Anomalous diffusions arise as scaling limits of continuous-time random walks (CTRWs) whose innovation times are distributed according to a power law. The impact of a non-exponential waiting time does not vanish with time and leads to…
We report evidence of irregular unsteady flow of two-dimensional polymer solutions in the absence of inertia in cross-slot geometry using numerical simulations of Oldroyd-B model. By exploring the transition to time-dependent flow versus…
Conflict between formation of a cyclonic vortex and isotropization in forced homogeneous rotating turbulence is numerically investigated. It is well known that a large rotation rate of the system induces columnar vortices to result in…
The multifractal structure of the temporal dependence of the Deutsche Aktienindex (DAX) is analyzed. The $q$-th order moments of the structure functions and the singular measures are calculated. The generalized Hurst exponent $H(q)$ and the…
We analyze the phenomenon of spontaneous stochasticity in fluid dynamics formulated as the nonuniqueness of solutions resulting from viscosity at infinitesimal scales acting through intermediate on large scales of the flow. We study the…