Statistical physics in foreign exchange currency and stock markets

Problems in economy and finance have attracted the interest of statistical physicists all over the world. Fundamental problems pertain to the existenc e or not of long-, medium- or/and short-range power-law correlations in var ious economic systems, to the presence of financial cycles and on economic considerations, including economic policy. A method like the detrended fluc tuation analysis is recalled emphasizing its value in sorting out correlati on ranges, thereby leading to predictability at short horizon. The (m,k)-Zi pf method is presented for sorting out short-range correlations in the sign and amplitude of the fluctuations. A well-known financial analysis techniq ue, the so-called moving average, is shown to raise questions to physicists about fractional Brownian motion properties. Among spectacular results, th e possibility of crash predictions has been demonstrated through the log-pe riodicity of financial index oscillations. (C) 2000 Elsevier Science B.V. A ll rights reserved.