| 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. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/4411 |
| 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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Ghashghaie, S., Breymann, W., Peinke, J., & Talkner, P. (1996). Turbulence and financial markets : a transaction cascade in foreign exchange markets [Conference paper]. In S. Gavrilakis, L. Machiels, & P. A. Monkewitz (Eds.), Advances in turbulence VI : proceedings of the sixth European turbulence conference, held in Lausanne, Switzerland, 2–5 July 1996 (pp. 167–170). Kluwer. https://doi.org/10.1007/978-94-009-0297-8_46
Ghashghaie, S. et al. (1996) ‘Turbulence and financial markets : a transaction cascade in foreign exchange markets’, in S. Gavrilakis, L. Machiels, and P.A. Monkewitz (eds) Advances in turbulence VI : proceedings of the sixth European turbulence conference, held in Lausanne, Switzerland, 2–5 July 1996. Dordrecht: Kluwer, pp. 167–170. Available at: https://doi.org/10.1007/978-94-009-0297-8_46.
S. Ghashghaie, W. Breymann, J. Peinke, and P. Talkner, “Turbulence and financial markets : a transaction cascade in foreign exchange markets,” in Advances in turbulence VI : proceedings of the sixth European turbulence conference, held in Lausanne, Switzerland, 2–5 July 1996, 1996, pp. 167–170. doi: 10.1007/978-94-009-0297-8_46.
GHASHGHAIE, Shoaleh, Wolfgang BREYMANN, Joachim PEINKE und Peter TALKNER, 1996. Turbulence and financial markets : a transaction cascade in foreign exchange markets. In: Spyros GAVRILAKIS, Luc MACHIELS und Peter A. MONKEWITZ (Hrsg.), Advances in turbulence VI : proceedings of the sixth European turbulence conference, held in Lausanne, Switzerland, 2–5 July 1996. Conference paper. Dordrecht: Kluwer. 1996. S. 167–170. ISBN 978-94-010-6618-1
Ghashghaie, Shoaleh, Wolfgang Breymann, Joachim Peinke, and Peter Talkner. 1996. “Turbulence and Financial Markets : A Transaction Cascade in Foreign Exchange Markets.” Conference paper. In Advances in Turbulence VI : Proceedings of the Sixth European Turbulence Conference, Held in Lausanne, Switzerland, 2–5 July 1996, edited by Spyros Gavrilakis, Luc Machiels, and Peter A. Monkewitz, 167–70. Dordrecht: Kluwer. https://doi.org/10.1007/978-94-009-0297-8_46.
Ghashghaie, Shoaleh, et al. “Turbulence and Financial Markets : A Transaction Cascade in Foreign Exchange Markets.” Advances in Turbulence VI : Proceedings of the Sixth European Turbulence Conference, Held in Lausanne, Switzerland, 2–5 July 1996, edited by Spyros Gavrilakis et al., Kluwer, 1996, pp. 167–70, https://doi.org/10.1007/978-94-009-0297-8_46.
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