1996/09/30 by Rosario N. Mantegna, H. Eugene Stanley, Mantegna, Rosario N. +1
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #Condensed Matter (cond-mat) #FOS: Physical sciences #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #cond-mat
paper · pdf · doi:10.48550/arxiv.cond-mat/9609290
5 pages (LaTex)+ 6 Postscript figures. To appear in Nature as a Scientific Correspondence
arxiv created 1996/09/30 · openalex publication_date 1996/09/30 · arxiv updated 2009/11/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Analogies between the price dynamics in the foreign exchange market and 3-dimensional fully developed turbulence were recently presented in Nature vol. 381, 767-769 (1996). Independently, we have carried out a study comparing the parallel of the dynamical properties of the S&P 500 index and of the time evolution of a 3-dimensional fully turbulent fluid, but our study arrives at rather different conclusions. Specifically, we find while intermittency -- i.e. abrupt changes of activity in the time evolution of the variance of price changes and of the mean energy dissipation -- and non-Gaussian behavior (for short times) in the probability distribution of price and velocity changes characterize both systems, the stochastic nature of the two processes is quantitatively quite different.