|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|
|Series :||Fluid Mechanics and its Applications (FMIA)|
|Language :||Englisch / English|
|Subjects :||Return distribution; Foreign exchange market; Viscous incompressible fluid; Energy cascade; Foreign exchange rate|
|Subject (DDC) :||332: Finanzwirtschaft|
|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:||Institut für Datenanalyse und Prozessdesign (IDP)|
|Publication type:||Konferenz: Paper / Conference Paper|
|Type of review:||Keine Angabe / Not specified|
|License (according to publishing contract) :||Lizenz gemäss Verlagsvertrag / Licence according to publishing contract|
|Appears in Collections:||Publikationen School of Engineering|
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.