Turbulent cascades in foreign exchange markets

摘要: THE availability of high-frequency data for financial markets has made it possible to study market dynamics on timescales less than a day1. For foreign exchange (FX) rates Muller et al.2 have shown that there is net flow information from long short timescales: the behaviour long-term traders (who watch only time time) influences short-term continuously). Motivated by this hierarchical feature, we studied FX in more detail, and report here an analogy between these hydrodynamic turbulence3–8. Specifically, relationship probability density price changes (δx) delay (δt) (Fig. la) much same as velocity differences (δv) two points turbulent their spatial separation δr 1b). Guided similarity claim cascade corresponds energy turbulence. On basis can now rationalize statistics at different delays, which important for, example, option pricing. The also provides conceptual framework understanding speculative markets.