“ Direct ” causal cascade in the stock market

@inproceedings{Arneodo1998D,
  title={“ Direct ” causal cascade in the stock market},
  author={Alain Arneodo and J.-F. Muzy and Didier Sornette},
  year={1998}
}
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… CONTINUE READING
44 Citations
9 References
Similar Papers

Citations

Publications citing this paper.
Showing 1-10 of 44 extracted citations

References

Publications referenced by this paper.
Showing 1-9 of 9 references

Discrete scale invariance and complex dimensions, Physics Reports

  • D. Sornette
  • 1998
1 Excerpt

Sex, Money, War, and Computers: Non-Traditional Applications of Computational Statistical Physics, (Springer Lecture

  • S. M. de OIiveira, P.M.C. de Oliveira, D. Stauffer
  • Notes in Computational Science and Engineering,
  • 1998
1 Excerpt

Fractals and scaling in finance: discontinuity, concentration, risk (Springer, New York, 1997) and references therein

  • B. B. Mandelbrot
  • 1997
2 Excerpts

J

  • D. Sornette, A. Johansen, J.-P. Bouchaud
  • Phys. I France 6, 167 (1996); J.A. Feigenbaum and…
  • 1997

Muzy, “Analysis of random cascades using space-scale correlation functions

  • A. Arneodo, E. Bacry, J.F.S. Manneville
  • CRPP preprint (June
  • 1997
1 Excerpt

Random multiplicative wavelet series ”

  • J. F. Muzy
  • Philos . Trans . B
  • 1997

Philos

  • U. G. Yule
  • Trans. B 213, 21 (1924); R. Gibrat, Les Inégalit…
  • 1955
1 Excerpt

Similar Papers

Loading similar papers…