From turbulence to financial time series

Details From turbulence to financial time series From turbulence to financial time series

1997-09-11

arxiv.org/abs/cond-mat/9709141v2

Physics

Condensed Matter

Statistical Mechanics

10 pages, 1 figure, LaTeX, version to appear in Physica A

Scientific paper

We develop a framework especially suited to the autocorrelation properties observed in financial times series, by borrowing from the physical picture of turbulence. The success of our approach as applied to high frequency foreign exchange data is demonstrated by the overlap of the curves in Figure (1), since we are able to provide an analytical derivation of the relative sizes of the quantities depicted. These quantities include departures from Gaussian probability density functions and various two and three-point autocorrelation functions.

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