  Magnetic shape memory Heusler alloys are multiferroics stabilized by the
correlations between electronic, magnetic and structural order. To study these
correlations we use time resolved x-ray diffraction and magneto-optical Kerr
effect experiments to measure the laser induced dynamics in a Heusler alloy
Ni$_2$MnGa film and reveal a set of timescales intrinsic to the system. We
observe a coherent phonon which we identify as the amplitudon of the modulated
structure and an ultrafast phase transition leading to a quenching of the
incommensurate modulation within 300~fs with a recovery time of a few ps. The
thermally driven martensitic transition to the high temperature cubic phase
proceeds via nucleation within a few ps and domain growth limited by the speed
of sound. The demagnetization time is 320~fs, which is comparable to the
quenching of the structural modulation.
