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 stylised facts and sharply constrain the space of possible theoretical explanations of the market mechanisms.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0809.1040.
Date of creation: Sep 2008
Date of revision: Jun 2010
Publication status: Published in Quant. Financ. 11(4), 599 - 614 (2011) - published online Oct. 2010
Contact details of provider:
Web page: http://arxiv.org/
Other versions of this item:
- J. B. Glattfelder & A. Dupuis & R. B. Olsen, 2010. "Patterns in high-frequency FX data: discovery of 12 empirical scaling laws," Quantitative Finance, Taylor & Francis Journals, vol. 11(4), pages 599-614.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- 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.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).
If references are entirely missing, you can add them using this form.