Turbulence and finance?
Abstract
Analogies between the price dynamics in the foreign exchange market and 3-dimensional fully developed turbulence were recently presented in Nature vol. 381, 767-769 (1996). Independently, we have carried out a study comparing the parallel of the dynamical properties of the S&P 500 index and of the time evolution of a 3-dimensional fully turbulent fluid, but our study arrives at rather different conclusions. Specifically, we find while intermittency -- i.e. abrupt changes of activity in the time evolution of the variance of price changes and of the mean energy dissipation -- and non-Gaussian behavior (for short times) in the probability distribution of price and velocity changes characterize both systems, the stochastic nature of the two processes is quantitatively quite different.
Keywords
Cite
@article{arxiv.cond-mat/9609290,
title = {Turbulence and finance?},
author = {Rosario N. Mantegna and H. Eugene Stanley},
journal= {arXiv preprint arXiv:cond-mat/9609290},
year = {2007}
}
Comments
5 pages (LaTex)+ 6 Postscript figures. To appear in Nature as a Scientific Correspondence