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The scale of market quakes

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Author Info

  • T. Bisig
  • A. Dupuis
  • V. Impagliazzo
  • R. B. Olsen

Abstract

We define a methodology to quantify market activity on a 24 hour basis by defining a scale, the so-called scale of market quakes (SMQ). The SMQ is designed within a framework where we analyse the dynamics of excess price moves from one directional change of price to the next. We use the SMQ to quantify the FX market and evaluate the performance of the proposed methodology at major news announcements. The evolution of SMQ magnitudes from 2003 to 2009 is analysed across major currency pairs.

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File URL: http://arxiv.org/pdf/0909.1690
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Bibliographic Info

Paper provided by arXiv.org in its series Papers with number 0909.1690.

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Date of creation: Sep 2009
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Handle: RePEc:arx:papers:0909.1690

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Web page: http://arxiv.org/

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Cited by:
  1. 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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