Turbulent cascades in foreign exchange markets

  title={Turbulent cascades in foreign exchange markets},
  author={S. Ghashghaie and Wolfgang Breymann and Joachim Peinke and P. Talkner and Y. Dodge},
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
Highly Influential
This paper has highly influenced 10 other papers. REVIEW HIGHLY INFLUENTIAL CITATIONS
Recent Discussions
This paper has been referenced on Twitter 11 times over the past 90 days. VIEW TWEETS


Publications citing this paper.
Showing 1-10 of 131 extracted citations


Publications referenced by this paper.
Showing 1-10 of 18 references


  • R N Mantegna, H E Stanley
  • Nature
  • 1995

Proc. 1st International Conference o n H i g h F requency Data in Finance

  • Proc. 1st International Conference o n H i g h F…
  • 1995

J. Phys. II France

  • A Naert
  • J. Phys. II France
  • 1994

Math. Finance

  • S J Taylor
  • Math. Finance
  • 1994

Phys. Rev. Lett

  • B Chabaud
  • Phys. Rev. Lett
  • 1994

Phys. Rev. E

  • G Stolovitzky, K R Sreenivasan, A Juneja
  • Phys. Rev. E
  • 1993

J. Econometrics

  • T Bollerslev, R Y Chous, K F Kroner
  • J. Econometrics
  • 1992

Journal of Banking and Finance

  • M Uller
  • Journal of Banking and Finance
  • 1990

Physica D

  • B Castaing, Y Gagne, E Hoppnger
  • Physica D
  • 1990

Similar Papers

Loading similar papers…