”Direct” causal cascade in the stock market
- Cite this article as:
- Arnéodo, A., Muzy, JF. & Sornette, D. Eur. Phys. J. B (1998) 2: 277. doi:10.1007/s100510050250
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We use wavelets to decompose the volatility (standard deviation) of intraday (S&P500) return data across scales. We show that when investigating two-point correlation functions of the volatility logarithms across different time scales, one reveals the existence of a causal information cascade from large scales (i.e. small frequencies) to fine scales. We quantify and visualize the information flux across scales. We provide a possible interpretation of our findings in terms of market dynamics.