“ Direct ” causal cascade in the stock market

  title={“ Direct ” causal cascade in the stock market},
  author={Alain Arneodo and J.-F. Muzy and Didier Sornette},
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
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