Stock market dynamics and turbulence: parallel analysis of fluctuation phenomena

Abstract We report analogies and differences between the fluctuations in an economic index and the fluctuations in velocity of a fluid in a fully turbulent state. Specifically, we systematically compare (i) the statistical properties of the S&P 500 cash index recorded during the period January 84–December 89 with (ii) the statistical properties of the velocity of turbulent air measured in the atmospheric surface layer about 6 m above a wheat canopy in the Connecticut Agricultural Research Station. We find non-Gaussian statistics, and intermittency, for both processes (i) and (ii) but the deviation from a Gaussian probability density function are different for stock market dynamics and turbulence.

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