Intermittency in Quantitative Finance

Factorial moments are convenient tools in nuclear physics to characterize the multiplicity distributions when phase-space resolution ($Δ$) becomes small. For uncorrelated particle production within $Δ$, Gaussian statistics holds and factorial moments $F_q$ 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 $Δ$. This correspon...