Publication type: Conference paper
Type of review: Not specified
Title: Turbulence and financial markets : a transaction cascade in foreign exchange markets
Authors: Ghashghaie, Shoaleh
Breymann, Wolfgang
Peinke, Joachim
Talkner, Peter
DOI: 10.1007/978-94-009-0297-8_46
Proceedings: Advances in turbulence VI : proceedings of the sixth European turbulence conference, held in Lausanne, Switzerland, 2–5 July 1996
Editors of the parent work: Gavrilakis, Spyros
Machiels, Luc
Monkewitz, Peter A.
Page(s): 167
Pages to: 170
Conference details: Sixth European Turbulence Conference, Lausanne, 2-5 July 1996
Issue Date: 1996
Series: Fluid Mechanics and its Applications (FMIA)
Series volume: 36
Publisher / Ed. Institution: Kluwer
Publisher / Ed. Institution: Dordrecht
ISBN: 978-94-010-6618-1
Language: English
Subjects: Return distribution; Foreign exchange market; Viscous incompressible fluid; Energy cascade; Foreign exchange rate
Subject (DDC): 332: Financial economics
Abstract: Price dynamics of speculative markets is one of the most complex phenomena in economics. Already the statistical description turns out to be difficult. The most prominent characteristic of the distribution of logarithmic price differences (returns) Δy for a given time delay Δt is its lepto- kurtosis, i.e., the pronounced frequencies with which both small and large returns occur. Proper modelling of this effect is of practical relevance for risk management. The kurtosis of the return distribution is largest for Δt of the order of minutes and decreases monotonically with increasing Δt, accompanied by an according change in the form of the distribution [1, 2]. Simultaneously, the variance of the distribution increases: it depends on the time delay according to a power law ((Δy)2) ~ Δt ε2.
Fulltext version: Published version
License (according to publishing contract): Licence according to publishing contract
Departement: School of Engineering
Organisational Unit: Institute of Data Analysis and Process Design (IDP)
Appears in collections:Publikationen School of Engineering

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