Turbulence and financial markets

Article Abstract:

Previous research has studied the analogies between the price dynamics in the foreign exchange market and three-dimensional fully developed turbulence. However, a similar study comparing the dynamical properties of the Standard and Poors (S&P) 500 Index and the time evolution of a three-dimensional fully turbulent fluid yields different conclusions. Contrary to the first study, the second study found that no correlation between the price changes of the S&P 500 and that the velocity changes in the 3-D turbulence were anticorrelated. In addition, the maximum of the probability distribution of price changes at a time indicates clear Levy scaling but the corresponding turbulence quantity does not indicate scaling.

Foreign exchange, Pricing, Turbulence

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Similarities between the growth dynamics university research and of competitive economic activities

Article Abstract:

The scaling properties of fluctuations in the output of physical systems often provide information relating to the underlying processes responsible for macroscopic behavior. Fluctuations in the growth rates of university research activities were analyzed based on five different measures of research activity. Growth rate distribution did not depend on the size of the university or on the measure of size used. The findings are consistent with the hypothesis that the growth dynamics of complex organizations are ruled by universal mechanisms.

Management science, Universities and colleges

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A theory of power-law distributions in financial market fluctuations

Article Abstract:

Research shows that the power laws of the financial market arise when the trading behaviour of the stock market is optimum. Data indicate that large movements in stock market activity are due to the trades from the large participants. There appears to be some relationship between large price fluctuations, volume trading and the number of trades.

United States, Science & research, Economics, Research and Development in the Social Sciences and Humanities, Analysis, Financial analysis, Stock markets, Stock market, Market capitalization

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