Turbulent cascades in foreign exchange markets

@article{Ghashghaie1996TurbulentCI,
  title={Turbulent cascades in foreign exchange markets},
  author={S. Ghashghaie and Wolfgang Breymann and Joachim Peinke and P. Talkner and Y. Dodge},
  journal={Nature},
  year={1996},
  volume={381},
  pages={767-770}
}
THE availability of high-frequency data for financial markets has made it possible to study market dynamics on timescales of less than a day1. For foreign exchange (FX) rates Müller et al.2 have shown that there is a net flow of information from long to short timescales: the behaviour of long-term traders (who watch the markets only from time to time) influences the behaviour of short-term traders (who watch the markets continuously). Motivated by this hierarchical feature, we have studied FX… CONTINUE READING
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