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Turbulence and Foreign Exchange Markets

Part of the Texts and Monographs in Physics book series (TMP)

Abstract

The preceding chapter has shown that, when looking at financial time series in fine detail, they are more complex than what would be expected from simple stochastic processes such as geometric Brownian motion, Lévy flights or truncated Lévy flights. One of the main differences to these stochastic processes is the heteroscedasticity of financial time series, i.e., the fact that their volatility is not a constant. While this has given rise to the formulation of the ARCH and GARCH processes [48, 49] briefly mentioned in Chap. 4.4.1, we here pursue the analogy with physics and consider phenomena of increased complexity.

Keywords

Probability Density Function Fractional Brownian Motion Planck Equation Hurst Exponent Dissipation Scale 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2005

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