Intermittency in Quantitative Finance

Factorial moments are convenient tools in nuclear physics to characterize the multiplicity distributions when phase-space resolution (Delta) becomes small. For uncorrelated particle production within Delta, Gaussian statistics holds and factorial moments Fq are equal to unity for all orders q. Correlations between particles lead to a broadening of the multiplicity distribution and to dynamical fluctuations. In this case, the factorial moments increase above 1 with decreasing Delta. This corresponds to what can be called intermittency. In this letter, we show that a similar analysis can be developed on financial price series, with an adequate definition of factorial moments. An intermittent behavior can be extracted using moments of order 2 (F2), illustrating a sensitivity to non-Gaussian fluctuations within time resolution below 4 hours. This confirms that correlations between price returns start to play a role when the time resolution is below this threshold