|Title:||Turbulence and financial markets : a transaction cascade in foreign exchange markets|
|Authors :||Ghashghaie, Shoaleh|
|Proceedings:||Advances in turbulence VI : proceedings of the sixth European turbulence conference, held in Lausanne, Switzerland, 2–5 July 1996|
|Conference details:||Sixth European Turbulence Conference, held in Lausanne, Switzerland, 2–5 July 1996|
|Editors of the parent work:||Gavrilakis, Spyros|
Monkewitz, Peter A.
|Publisher / Ed. Institution :||Kluwer Academic Publishers|
|Publisher / Ed. Institution:||Dordrecht|
|License (according to publishing contract) :||Licence according to publishing contract|
|Series :||Fluid Mechanics and its Applications (FMIA)|
|Type of review:||Not specified|
|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.|
|Departement:||School of Engineering|
|Organisational Unit:||Institute of Data Analysis and Process Design (IDP)|
|Publication type:||Conference Paper|
|Appears in Collections:||Publikationen School of Engineering|
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