Patterns in high-frequency FX data: discovery of 12 empirical scaling laws
AbstractWe have discovered 12 independent new empirical scaling laws in foreign exchange data series that hold for close to three orders of magnitude and across 13 currency exchange rates. Our statistical analysis crucially depends on an event-based approach that measures the relationship between different types of events. The scaling laws give an accurate estimation of the length of the price-curve coastline, which turns out to be surprisingly long. The new laws substantially extend the catalogue of stylized facts and sharply constrain the space of possible theoretical explanations of the market mechanisms.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Quantitative Finance.
Volume (Year): 11 (2010)
Issue (Month): 4 ()
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Web page: http://www.tandfonline.com/RQUF20
Other versions of this item:
- J. B. Glattfelder & A. Dupuis & R. B. Olsen, 2008. "Patterns in high-frequency FX data: Discovery of 12 empirical scaling laws," Papers 0809.1040, arXiv.org, revised Jun 2010.
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- Aloud, Monira & Tsang, Edward & Olsen, Richard & Dupuis, Alexandre, 2012. "A directional-change event approach for studying financial time series," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 6(36), pages 1-17.
- Anton Golub & Gregor Chliamovitch & Alexandre Dupuis & Bastien Chopard, 2014. "Multi-scale Representation of High Frequency Market Liquidity," Papers 1402.2198, arXiv.org.
- Aloud, Monira & Tsang, Edward & Olsen, Richard & Dupuis, Alexandre, 2011. "A directional-change events approach for studying financial time series," Economics Discussion Papers 2011-28, Kiel Institute for the World Economy.
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