Alain Arneodo (Centre de Recherche Paul Pascal, Pessac, FRANCE) Jean-Philippe Bouchaud (Science & Finance, Capital Fund Management, CEA Saclay;) Rama Cont (Science & Finance, Capital Fund Management) Jean-Francois Muzy (Centre de Recherche Paul Pascal, Pessac, FRANCE) Marc Potters Didier Sornette (UCLA, Nice)
Abstract
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.
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