Turbulence and finance?
| dc.creator | Mantegna, Rosario N. | |
| dc.creator | Stanley, H. Eugene | |
| dc.date | 1996-09-30 | |
| dc.date.accessioned | 2026-07-07T03:08:56Z | |
| dc.date.available | 2026-07-07T03:08:56Z | |
| dc.description | Analogies between the price dynamics in the foreign exchange market and 3-dimensional fully developed turbulence were recently presented in Nature vol. 381, 767-769 (1996). Independently, we have carried out a study comparing the parallel of the dynamical properties of the S&P 500 index and of the time evolution of a 3-dimensional fully turbulent fluid, but our study arrives at rather different conclusions. Specifically, we find while intermittency -- i.e. abrupt changes of activity in the time evolution of the variance of price changes and of the mean energy dissipation -- and non-Gaussian behavior (for short times) in the probability distribution of price and velocity changes characterize both systems, the stochastic nature of the two processes is quantitatively quite different. | |
| dc.description | 5 pages (LaTex)+ 6 Postscript figures. To appear in Nature as a Scientific Correspondence | |
| dc.identifier | https://arxiv.org/abs/cond-mat/9609290 | |
| dc.identifier | http://arxiv.org/abs/cond-mat/9609290 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/27694 | |
| dc.subject | Condensed Matter | |
| dc.title | Turbulence and finance? | |
| dc.type | text |