| Publikationstyp: | Beitrag in wissenschaftlicher Zeitschrift |
| Art der Begutachtung: | Peer review (Publikation) |
| Titel: | A stochastic cascade model for FX dynamics |
| Autor/-in: | Breymann, Wolfgang Ghashghaie, Shoaleh Talkner, Peter |
| DOI: | 10.1142/S021902490000019X |
| Erschienen in: | International Journal of Theoretical and Applied Finance |
| Band(Heft): | 3 |
| Heft: | 3 |
| Seite(n): | 357 |
| Seiten bis: | 360 |
| Erscheinungsdatum: | 2000 |
| Verlag / Hrsg. Institution: | World Scientific Publishing |
| ISSN: | 0219-0249 1793-6322 |
| Sprache: | Englisch |
| Schlagwörter: | Hydrodynamic turbulence; Kolmogorov cascade; Heterogeneous market; Information flow; Volatility |
| Fachgebiet (DDC): | 332: Finanzwirtschaft |
| Zusammenfassung: | A time series model for the FX dynamics is presented which takes into account structural peculiarities of the market, namely its heterogeneity and an information flow from long to short time horizons. The model emerges from an analogy between FX dynamics and hydrodynamic turbulence. The heterogeneity of the market is modeled in the form of a multiplicative cascade of time scales ranging from several minutes to a few months, analogous to the Kolmogorov cascade in turbulence. The model reproduces well the important empirical characteristics of FX rates for major currencies, as the heavy-tailed distribution of returns, their change in shape with the increasing time interval, and the persistence of volatility. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/4674 |
| Volltext Version: | Publizierte Version |
| Lizenz (gemäss Verlagsvertrag): | Lizenz gemäss Verlagsvertrag |
| Departement: | School of Engineering |
| Organisationseinheit: | Institut für Datenanalyse und Prozessdesign (IDP) |
| Enthalten in den Sammlungen: | Publikationen School of Engineering |
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Breymann, W., Ghashghaie, S., & Talkner, P. (2000). A stochastic cascade model for FX dynamics. International Journal of Theoretical and Applied Finance, 3(3), 357–360. https://doi.org/10.1142/S021902490000019X
Breymann, W., Ghashghaie, S. and Talkner, P. (2000) ‘A stochastic cascade model for FX dynamics’, International Journal of Theoretical and Applied Finance, 3(3), pp. 357–360. Available at: https://doi.org/10.1142/S021902490000019X.
W. Breymann, S. Ghashghaie, and P. Talkner, “A stochastic cascade model for FX dynamics,” International Journal of Theoretical and Applied Finance, vol. 3, no. 3, pp. 357–360, 2000, doi: 10.1142/S021902490000019X.
BREYMANN, Wolfgang, Shoaleh GHASHGHAIE und Peter TALKNER, 2000. A stochastic cascade model for FX dynamics. International Journal of Theoretical and Applied Finance. 2000. Bd. 3, Nr. 3, S. 357–360. DOI 10.1142/S021902490000019X
Breymann, Wolfgang, Shoaleh Ghashghaie, and Peter Talkner. 2000. “A Stochastic Cascade Model for FX Dynamics.” International Journal of Theoretical and Applied Finance 3 (3): 357–60. https://doi.org/10.1142/S021902490000019X.
Breymann, Wolfgang, et al. “A Stochastic Cascade Model for FX Dynamics.” International Journal of Theoretical and Applied Finance, vol. 3, no. 3, 2000, pp. 357–60, https://doi.org/10.1142/S021902490000019X.
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