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dc.contributor.authorGhashghaie, Shoaleh-
dc.contributor.authorBreymann, Wolfgang-
dc.contributor.authorPeinke, Joachim-
dc.contributor.authorTalkner, Peter-
dc.contributor.authorDodge, Yadolah-
dc.date.accessioned2018-04-03T13:21:57Z-
dc.date.available2018-04-03T13:21:57Z-
dc.date.issued1996-
dc.identifier.issn0028-0836de_CH
dc.identifier.issn1476-4687de_CH
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/4613-
dc.description.abstractThe availability of high-frequency data for financial markets has made it possible to study market dynamics on timescales of less than a day. For foreign exchange (FX) rates Müller et al. have shown that there is a net flow of information from long to short timescales: the behaviour of long-term traders (who watch the markets only from time to time) influences the behaviour of short-term traders (who watch the markets continuously). Motivated by this hierarchical feature, we have studied FX market dynamics in more detail, and report here an analogy between these dynamics and hydrodynamic turbulence. Specifically, the relationship between the probability density of FX price changes (δx) and the time delay (δt) is much the same as the relationship between the probability density of the velocity differences (δv) of two points in a turbulent flow and their spatial separation δr. Guided by this similarity we claim that there is an information cascade in FX market dynamics that corresponds to the energy cascade in hydrodynamic turbulence. On the basis of this analogy we can now rationalize the statistics of FX price differences at different time delays, which is important for, for example, option pricing. The analogy also provides a conceptual framework for understanding the short-term dynamics of speculative markets.de_CH
dc.language.isoende_CH
dc.publisherNature Publishing Groupde_CH
dc.relation.ispartofNaturede_CH
dc.rightsLicence according to publishing contractde_CH
dc.subject.ddc332: Finanzwirtschaftde_CH
dc.titleTurbulent cascades in foreign exchange marketsde_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.doi10.1038/381767a0de_CH
zhaw.funding.euNode_CH
zhaw.issue6585de_CH
zhaw.originated.zhawYesde_CH
zhaw.pages.end770de_CH
zhaw.pages.start767de_CH
zhaw.publication.statuspublishedVersionde_CH
zhaw.volume381de_CH
zhaw.publication.reviewPeer review (Publikation)de_CH
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Ghashghaie, S., Breymann, W., Peinke, J., Talkner, P., & Dodge, Y. (1996). Turbulent cascades in foreign exchange markets. Nature, 381(6585), 767–770. https://doi.org/10.1038/381767a0
Ghashghaie, S. et al. (1996) ‘Turbulent cascades in foreign exchange markets’, Nature, 381(6585), pp. 767–770. Available at: https://doi.org/10.1038/381767a0.
S. Ghashghaie, W. Breymann, J. Peinke, P. Talkner, and Y. Dodge, “Turbulent cascades in foreign exchange markets,” Nature, vol. 381, no. 6585, pp. 767–770, 1996, doi: 10.1038/381767a0.
GHASHGHAIE, Shoaleh, Wolfgang BREYMANN, Joachim PEINKE, Peter TALKNER und Yadolah DODGE, 1996. Turbulent cascades in foreign exchange markets. Nature. 1996. Bd. 381, Nr. 6585, S. 767–770. DOI 10.1038/381767a0
Ghashghaie, Shoaleh, Wolfgang Breymann, Joachim Peinke, Peter Talkner, and Yadolah Dodge. 1996. “Turbulent Cascades in Foreign Exchange Markets.” Nature 381 (6585): 767–70. https://doi.org/10.1038/381767a0.
Ghashghaie, Shoaleh, et al. “Turbulent Cascades in Foreign Exchange Markets.” Nature, vol. 381, no. 6585, 1996, pp. 767–70, https://doi.org/10.1038/381767a0.


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