Scaling, correlations, and cascades in finance and turbulence

DOI10.1016/S0378-4371(03)00590-9zbMath1056.91053OpenAlexW2036419369MaRDI QIDQ1409099

Joseph L. McCauley

Publication date: 5 October 2003

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4371(03)00590-9

zbMATH Keywords

diffusioninformation cascadestime reversible dynamics

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Statistical turbulence modeling (76F55) Diffusion (76R50)

Related Items (1)

Investigation of non-Gaussian effects in the Brazilian option market

Cites Work

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• An empirical model of volatility of returns and option pricing
• Thermodynamic analogies in economics and finance: instability of markets
• Fokker-Planck equation of distributions of financial returns and power laws
• Are galaxy distributions scale invariant? A perspective from dynamical systems theory
• Characterization of stationary distributions using conditional expectations
• Introduction to Econophysics
• Dynamics of Markets

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