Comment on Turbulent cascades in foreign exchange markets

17 July 1996

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Recently, Ghashghaie et al. have shown that some statistical aspects of fully developed turbulence and exchange rate fluctuations exhibit striking similarities (Nature 381, 767 (1996)). The authors then suggested that the two problems might be deeply connected, and speculated on the existence of an 'information cascade' which would play the role in finance of the well known Kolmogorov energy cascade in turbulence. Here we want to convince the reader that the two problems differ on a fundamental aspect, namely, correlations.

Authors

Alain Arneodo , Rama Cont , Jean-Francois Muzy , Marc Potters , Didier Sornette , Jean-Philippe Bouchaud