MaPhySto
Centre for Mathematical Physics and Stochastics
Department of Mathematical Sciences, University of Aarhus

---

Funded by The Danish National Research Foundation

MaPhySto and CAF Workshop on

Turbulence and Finance

Wednesday May 5 - Friday May 7, 1999

Department of Mathematical Sciences

University of Aarhus

In order to discuss the striking similarities, as well as the differences, between key empirical features observed in the financial markets and in turbulence of fluids, a workshop with the above-mentioned title was held 5-7 May 1999 at the Department of Mathematical Sciences, the University of Aarhus. The workshop was organized jointly by CAF (Centre for Analytical Finance) and MaPhySto (Centre for Mathematical Physics and Stochastics).

The participants came from Physics, Stochastics, and Mathematical Finance/Econometrics. Among the topics treated were:

• Cascades
• Long Range Dependence
• Scaling
• Selfsimilarity
• Volatility and Intermittence
• Behaviour at the Lower Limits of Resolution
• Burgers' Equation

The organizing committee consisted of: Ole E. Barndorff-Nielsen, Bent Jesper Christensen, Henning Bunzel (Aarhus) and Michael Sørensen (Copenhagen).

Program

The workshop started on Wednesday morning with the first talk at 10.00. The last lecture on Friday ended at 15.00.

You may find more information (program, participants etc.) in the Workshop mini-proceedings.