Comment on "Turbulent cascades in foreign exchange markets"

Alain Arneodo, Jean-Philippe Bouchaud, Rama Cont, Jean-Francois Muzy, Marc Potters (marc.potters@science-finance.fr) and Didier Sornette
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Alain Arneodo: Centre de Recherche Paul Pascal, Pessac, FRANCE
Jean-Philippe Bouchaud: Science & Finance, Capital Fund Management
Rama Cont: Science & Finance, Capital Fund Management
Jean-Francois Muzy: Centre de Recherche Paul Pascal, Pessac, FRANCE
Didier Sornette: UCLA

No 9607120, Science & Finance (CFM) working paper archive from 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.

JEL-codes: G1 (search for similar items in EconPapers)
Date: 1996-07
References: View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:sfi:sfiwpa:9607120

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