Turbulent Behavior of Stock Exchange Indices and Foreign Currency Exchange Rates
1997 ◽
Vol 07
(08)
◽
pp. 1855-1859
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Keyword(s):
The time evolution of stock exchange indices and foreign currency exchange rates has many similarities with turbulent flows. In particular, the probability densities of price changes are non-Gaussian and develop stretched exponential tails, quite similar to the densities of velocity differences measured in fully developed hydrodynamical turbulence. We show that a simple cascade model, based on a self-similar, hierarchical dynamics of price changes, describes the observed probability densities of the financial indices in a quantitatively correct way.
Keyword(s):
2002 ◽
Vol 77
(2)
◽
pp. 343-377
◽
Keyword(s):
1998 ◽
Vol 09
(05)
◽
pp. 711-719
◽
2011 ◽
Vol 13
(1)
◽
pp. 93
◽
Keyword(s):
Keyword(s):
2020 ◽
Vol 560
◽
pp. 125191