Comment on ``Turbulent cascades in foreign exchange markets'' [Ghashghaie et al., Nature 381, 767 (1996)]

A. Arnéodo , J.-P. Bouchaud (1) , R. Cont , J.-F. Muzy , M. Potters , D. Sornette

1 SPEC - UMR3680 - Service de physique de l'état condensé

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.

Domaines: Physique Générale [physics.gen-ph]; Autre [cond-mat.other]

A. Arnéodo, J.-P. Bouchaud, R. Cont, J.-F. Muzy, M. Potters, et al.. Comment on ``Turbulent cascades in foreign exchange markets'' [Ghashghaie et al., Nature 381, 767 (1996)]. 1996. ⟨hal-00126631⟩