Turbulence and finance?

Rosario N. Mantegna; H. Eugene Stanley

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arXiv · cond-mat/9609290

Turbulence and finance?

Rosario N. Mantegna·H. Eugene Stanley

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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.

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Rosario N. Mantegna, H. Eugene Stanley. 1996-09-30. Turbulence and finance?. https://arxiv.org/abs/cond-mat/9609290

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