Turbulence and Foreign Exchange Markets
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 [39, 40] briefly mentioned in Chap. 4.4.1, we here pursue the analogy with physics and consider phenomena of increased complexity.
KeywordsHelium Autocorrelation Convolution Cross Correlation Volatility
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