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dc.contributor.authorBreymann, Wolfgang-
dc.contributor.authorGhashghaie, Shoaleh-
dc.contributor.authorTalkner, Peter-
dc.date.accessioned2018-04-04T07:17:50Z-
dc.date.available2018-04-04T07:17:50Z-
dc.date.issued2000-
dc.identifier.issn0219-0249de_CH
dc.identifier.issn1793-6322de_CH
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/4674-
dc.description.abstractA time series model for the FX dynamics is presented which takes into account structural peculiarities of the market, namely its heterogeneity and an information flow from long to short time horizons. The model emerges from an analogy between FX dynamics and hydrodynamic turbulence. The heterogeneity of the market is modeled in the form of a multiplicative cascade of time scales ranging from several minutes to a few months, analogous to the Kolmogorov cascade in turbulence. The model reproduces well the important empirical characteristics of FX rates for major currencies, as the heavy-tailed distribution of returns, their change in shape with the increasing time interval, and the persistence of volatility.de_CH
dc.language.isoende_CH
dc.publisherWorld Scientific Publishingde_CH
dc.relation.ispartofInternational Journal of Theoretical and Applied Financede_CH
dc.rightsLicence according to publishing contractde_CH
dc.subjectHydrodynamic turbulencede_CH
dc.subjectKolmogorov cascadede_CH
dc.subjectHeterogeneous marketde_CH
dc.subjectInformation flowde_CH
dc.subjectVolatilityde_CH
dc.subject.ddc332: Finanzwirtschaftde_CH
dc.titleA stochastic cascade model for FX dynamicsde_CH
dc.typeBeitrag in wissenschaftlicher Zeitschriftde_CH
dcterms.typeTextde_CH
zhaw.departementSchool of Engineeringde_CH
zhaw.organisationalunitInstitut für Datenanalyse und Prozessdesign (IDP)de_CH
dc.identifier.doi10.1142/S021902490000019Xde_CH
zhaw.funding.euNode_CH
zhaw.issue3de_CH
zhaw.originated.zhawYesde_CH
zhaw.pages.end360de_CH
zhaw.pages.start357de_CH
zhaw.publication.statuspublishedVersionde_CH
zhaw.volume3de_CH
zhaw.publication.reviewPeer review (Publikation)de_CH
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Breymann, W., Ghashghaie, S., & Talkner, P. (2000). A stochastic cascade model for FX dynamics. International Journal of Theoretical and Applied Finance, 3(3), 357–360. https://doi.org/10.1142/S021902490000019X
Breymann, W., Ghashghaie, S. and Talkner, P. (2000) ‘A stochastic cascade model for FX dynamics’, International Journal of Theoretical and Applied Finance, 3(3), pp. 357–360. Available at: https://doi.org/10.1142/S021902490000019X.
W. Breymann, S. Ghashghaie, and P. Talkner, “A stochastic cascade model for FX dynamics,” International Journal of Theoretical and Applied Finance, vol. 3, no. 3, pp. 357–360, 2000, doi: 10.1142/S021902490000019X.
BREYMANN, Wolfgang, Shoaleh GHASHGHAIE und Peter TALKNER, 2000. A stochastic cascade model for FX dynamics. International Journal of Theoretical and Applied Finance. 2000. Bd. 3, Nr. 3, S. 357–360. DOI 10.1142/S021902490000019X
Breymann, Wolfgang, Shoaleh Ghashghaie, and Peter Talkner. 2000. “A Stochastic Cascade Model for FX Dynamics.” International Journal of Theoretical and Applied Finance 3 (3): 357–60. https://doi.org/10.1142/S021902490000019X.
Breymann, Wolfgang, et al. “A Stochastic Cascade Model for FX Dynamics.” International Journal of Theoretical and Applied Finance, vol. 3, no. 3, 2000, pp. 357–60, https://doi.org/10.1142/S021902490000019X.


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