Patterns in high-frequency FX data: discovery of 12 empirical scaling laws
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- 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.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Denis M. Filatov & Maksim A. Vanyarkho, 2014. "An Unconventional Attempt to Tame Mandelbrot's Grey Swans," Papers 1406.5718, arXiv.org.
- 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 (IfW), vol. 6, pages 1-17.
- 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 (IfW).
- Monira Essa Aloud, 2016. "Time Series Analysis Indicators under Directional Changes: The Case of Saudi Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 6(1), pages 55-64.
- Monira Essa Aloud, 2016. "Profitability of Directional Change Based Trading Strategies: The Case of Saudi Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 6(1), pages 87-95.
- Noemi Nava & T. Di Matteo & Tomaso Aste, 2015. "Anomalous volatility scaling in high frequency financial data," Papers 1503.08465, arXiv.org, revised Dec 2015.
- Anton Golub & Gregor Chliamovitch & Alexandre Dupuis & Bastien Chopard, 2014. "Multi-scale Representation of High Frequency Market Liquidity," Papers 1402.2198, arXiv.org.
- James B. Glattfelder & Thomas Bisig & Richard B. Olsen, 2014. "R&D Strategy Document," Papers 1405.6027, arXiv.org.
More about this item
KeywordsPower laws; Foreign exchange markets; Empirical time series analysis; Financial time series;
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