A STOCHASTIC CASCADE MODEL FOR FX DYNAMICS

DOI10.1142/S021902490000019XzbMath0970.91061arXivcond-mat/0004179OpenAlexW2005919650MaRDI QIDQ4521253

Wolfgang Breymann, Shoaleh Ghashghaie, Peter Talkner

Publication date: 19 December 2000

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0004179

zbMATH Keywords

heterogeneous marketvolatilityinformation flowhydrodynamic turbulenceKolmogorov cascade

Mathematics Subject Classification ID

Economic time series analysis (91B84) Turbulence (76F99)

Related Items (5)

Dynamical model of financial markets: fluctuating `temperature' causes intermittent behavior of price changes ⋮ Multi-scale description and prediction of financial time series ⋮ Турбулентность и модель мультипликативного каскада волатильности ⋮ Evidence of Markov properties of high frequency exchange rate data ⋮ EMPIRICAL TESTING OF MULTIFRACTALITY OF FINANCIAL TIME SERIES BASED ON WTMM

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