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Comment on "Turbulent cascades in foreign exchange markets"

Author

Listed:
  • Alain Arneodo

    (Centre de Recherche Paul Pascal, Pessac, FRANCE)

  • Jean-Philippe Bouchaud

    (Science & Finance, Capital Fund Management
    CEA Saclay;)

  • Rama Cont

    (Science & Finance, Capital Fund Management)

  • Jean-Francois Muzy

    (Centre de Recherche Paul Pascal, Pessac, FRANCE)

  • Marc Potters

    (Science & Finance, Capital Fund Management)

  • Didier Sornette

    (UCLA
    Science & Finance, Capital Fund Management)

Abstract

Recently, Ghashghaie et al. have shown that some statistical aspects of fully developed turbulence and exchange rate fluctuations exhibit striking similarities (Nature 381, 767 (1996)). The authors then suggested that the two problems might be deeply connected, and speculated on the existence of an `information cascade' which would play the role in finance of the well known Kolmogorov energy cascade in turbulence. Here we want to convince the reader that the two problems differ on a fundamental aspect, namely, correlations.

Suggested Citation

  • Alain Arneodo & Jean-Philippe Bouchaud & Rama Cont & Jean-Francois Muzy & Marc Potters & Didier Sornette, 1996. "Comment on "Turbulent cascades in foreign exchange markets"," Science & Finance (CFM) working paper archive 9607120, Science & Finance, Capital Fund Management.
    • Handle: RePEc:sfi:sfiwpa:9607120
    as

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    Citations

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    Cited by:

    1. Rotundo, G., 2004. "Neural networks for large financial crashes forecast," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 77-80.
    2. Bak, P. & Paczuski, M. & Shubik, M., 1997. "Price variations in a stock market with many agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 246(3), pages 430-453.
    3. Sornette, Didier & Johansen, Anders, 1998. "A hierarchical model of financial crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 261(3), pages 581-598.
    4. Sosa-Correa, William O. & Ramos, Antônio M.T. & Vasconcelos, Giovani L., 2018. "Investigation of non-Gaussian effects in the Brazilian option market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 496(C), pages 525-539.
    5. Sornette, Didier & Johansen, Anders, 1997. "Large financial crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 245(3), pages 411-422.
    6. Harbir Lamba & Tim Seaman, 2008. "Market Statistics Of A Psychology-Based Heterogeneous Agent Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(07), pages 717-737.
    7. Mahjoub, Amal & Attia, Najmeddine, 2022. "A relative vectorial multifractal formalism," Chaos, Solitons & Fractals, Elsevier, vol. 160(C).
    8. Bardhan, K.K., 1997. "Nonlinear conduction in composites above percolation threshold — beyond the backbone," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 241(1), pages 267-277.

    More about this item

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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