From turbulence to financial time series

B Holdom

Physica A: Statistical Mechanics and its Applications, 1998, vol. 254, issue 3, 569-576

Abstract: We develop a framework especially suited to the autocorrelation properties observed in financial times series, by borrowing from the physical picture of turbulence. The success of our approach as applied to high frequency foreign exchange data is demonstrated by the overlap of the curves in a figure (Fig. 1), since we are able to provide an analytical derivation of the relative sizes of the quantities depicted. These quantities include departures from Gaussian probability density functions and various two- and three-point autocorrelation functions.

Keywords: Time series; Turbulence; Autocorrelation (search for similar items in EconPapers)
Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:254:y:1998:i:3:p:569-576

DOI: 10.1016/S0378-4371(98)00078-8

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