Abstract
This article looks at empirical features and how they span multiple time scales in financial time series. I claim that these connections across different frequencies are important in the world of finance, and are related to how trading agents interact with an environment that is, to some extent, their own creation. Lack of a clear time scale allows many heterogeneous beliefs to flourish, and it is the coexistence of these beliefs which helps to generate features across many times scales in a kind of symbiotic relationship.