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dc.contributor.authorGhashghaie, Shoaleh-
dc.contributor.authorBreymann, Wolfgang-
dc.contributor.authorPeinke, Joachim-
dc.contributor.authorTalkner, Peter-
dc.date.accessioned2018-03-28T14:38:53Z-
dc.date.available2018-03-28T14:38:53Z-
dc.date.issued1996-
dc.identifier.isbn978-94-010-6618-1de_CH
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/4411-
dc.description.abstractPrice 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.de_CH
dc.language.isoende_CH
dc.publisherKluwerde_CH
dc.relation.ispartofseriesFluid Mechanics and its Applications (FMIA)de_CH
dc.rightsLicence according to publishing contractde_CH
dc.subjectReturn distributionde_CH
dc.subjectForeign exchange marketde_CH
dc.subjectViscous incompressible fluidde_CH
dc.subjectEnergy cascadede_CH
dc.subjectForeign exchange ratede_CH
dc.subject.ddc332: Finanzwirtschaftde_CH
dc.titleTurbulence and financial markets : a transaction cascade in foreign exchange marketsde_CH
dc.typeKonferenz: Paperde_CH
dcterms.typeTextde_CH
zhaw.departementSchool of Engineeringde_CH
zhaw.organisationalunitInstitut für Datenanalyse und Prozessdesign (IDP)de_CH
zhaw.publisher.placeDordrechtde_CH
dc.identifier.doi10.1007/978-94-009-0297-8_46de_CH
zhaw.conference.detailsSixth European Turbulence Conference, Lausanne, 2-5 July 1996de_CH
zhaw.funding.euNode_CH
zhaw.originated.zhawYesde_CH
zhaw.pages.end170de_CH
zhaw.pages.start167de_CH
zhaw.parentwork.editorGavrilakis, Spyros-
zhaw.parentwork.editorMachiels, Luc-
zhaw.parentwork.editorMonkewitz, Peter A.-
zhaw.publication.statuspublishedVersionde_CH
zhaw.series.number36de_CH
zhaw.publication.reviewNot specifiedde_CH
zhaw.title.proceedingsAdvances in turbulence VI : proceedings of the sixth European turbulence conference, held in Lausanne, Switzerland, 2–5 July 1996de_CH
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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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