IDEAS home Printed from https://ideas.repec.org/a/taf/quantf/v12y2012i4p501-508.html
   My bibliography  Save this article

The scale of market quakes

Author

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

Abstract

No abstract is available for this item.

Suggested Citation

  • T. Bisig & A. Dupuis & V. Impagliazzo & R. B. Olsen, 2012. "The scale of market quakes," Quantitative Finance, Taylor & Francis Journals, vol. 12(4), pages 501-508, July.
    • Handle: RePEc:taf:quantf:v:12:y:2012:i:4:p:501-508
    DOI: 10.1080/14697688.2011.609180
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/14697688.2011.609180
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/14697688.2011.609180?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Ingve Simonsen & Mogens H. Jensen & Anders Johansen, 2002. "Optimal Investment Horizons," Papers cond-mat/0202352, arXiv.org.
    2. 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.
    3. Alexander Subbotin, 2008. "A multi-horizon scale for volatility," Documents de travail du Centre d'Economie de la Sorbonne bla08020, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    4. Bertrand Maillet & Thierry Michel, 2003. "An index of market shocks based on multiscale analysis," Quantitative Finance, Taylor & Francis Journals, vol. 3(2), pages 88-97.
    5. Alexander Subbotin, 2008. "A multi-horizon scale for volatility," Post-Print halshs-00261514, HAL.
    6. Alexander Subbotin, 2008. "A multi-horizon scale for volatility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00261514, HAL.
    7. Gençay, Ramazan & Dacorogna, Michel & Muller, Ulrich A. & Pictet, Olivier & Olsen, Richard, 2001. "An Introduction to High-Frequency Finance," Elsevier Monographs, Elsevier, edition 1, number 9780122796715.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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 (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-17.
    2. Jorge Faleiro & Edward Tsang, 2018. "Black Magic Investigation Made Simple: Monte Carlo Simulations and Historical Back Testing of Momentum Cross-Over Strategies Using FRACTI Patterns," Papers 1808.07949, arXiv.org.
    3. Edward P. K. Tsang & Ran Tao & Antoaneta Serguieva & Shuai Ma, 2017. "Profiling high-frequency equity price movements in directional changes," Quantitative Finance, Taylor & Francis Journals, vol. 17(2), pages 217-225, February.
    4. 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.
    5. Amer M. Bakhach & Edward P.K. Tsang & V.L. Raju Chinthalapati, 2018. "TSFDC: A trading strategy based on forecasting directional change," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 25(3), pages 105-123, July.
    6. Jorge Faleiro & Edward Tsang, 2018. "Supporting Crowd-Powered Science in Economics: FRACTI, a Conceptual Framework for Large-Scale Collaboration and Transparent Investigation in Financial Markets," Papers 1808.07959, arXiv.org.
    7. Iacopo Giampaoli & Wing Lon Ng & Nick Constantinou, 2013. "Periodicities Of Foreign Exchange Markets And The Directional Change Power Law," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 20(3), pages 189-206, July.
    8. Ma, Junjun & Xiong, Xiong & He, Feng & Zhang, Wei, 2017. "Volatility measurement with directional change in Chinese stock market: Statistical property and investment strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 169-180.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jozef Barunik & Lukas Vacha, 2015. "Realized wavelet-based estimation of integrated variance and jumps in the presence of noise," Quantitative Finance, Taylor & Francis Journals, vol. 15(8), pages 1347-1364, August.
    2. Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models: from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
    3. Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 15(3), pages 94-138.
    4. Wang, Fangfang, 2014. "Optimal design of Fourier estimator in the presence of microstructure noise," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 708-722.
    5. Barunik, Jozef & Krehlik, Tomas & Vacha, Lukas, 2016. "Modeling and forecasting exchange rate volatility in time-frequency domain," European Journal of Operational Research, Elsevier, vol. 251(1), pages 329-340.
    6. Fangfang Wang, 2016. "An Unbiased Measure of Integrated Volatility in the Frequency Domain," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(2), pages 147-164, March.
    7. Takaki Hayashi & Yuta Koike, 2017. "Multi-scale analysis of lead-lag relationships in high-frequency financial markets," Papers 1708.03992, arXiv.org, revised May 2020.
    8. 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.
    9. 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.
    10. Nava, Noemi & Di Matteo, T. & Aste, Tomaso, 2016. "Anomalous volatility scaling in high frequency financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 434-445.
    11. Johannes Vitalis Siven & Jeffrey Todd Lins & Jonas Lundbek Hansen, 2008. "A multiscale view on inverse statistics and gain/loss asymmetry in financial time series," Papers 0811.3122, arXiv.org.
    12. Vladimir Petrov & Anton Golub & Richard Olsen, 2019. "Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time," JRFM, MDPI, vol. 12(2), pages 1-31, April.
    13. James B. Glattfelder & Thomas Bisig & Richard B. Olsen, 2014. "R&D Strategy Document," Papers 1405.6027, arXiv.org.
    14. Noemi Nava & T. Di Matteo & Tomaso Aste, 2015. "Anomalous volatility scaling in high frequency financial data," Papers 1503.08465, arXiv.org, revised Dec 2015.
    15. Barunik, Jozef & Vacha, Lukas, 2010. "Monte Carlo-based tail exponent estimator," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4863-4874.
    16. Dash, Saumya Ranjan & Maitra, Debasish, 2018. "Does sentiment matter for stock returns? Evidence from Indian stock market using wavelet approach," Finance Research Letters, Elsevier, vol. 26(C), pages 32-39.
    17. Sabrina Camargo & Silvio M. Duarte Queiros & Celia Anteneodo, 2013. "Bridging stylized facts in finance and data non-stationarities," Papers 1302.3197, arXiv.org, revised May 2013.
    18. Lallouache, Mehdi & Abergel, Frédéric, 2014. "Tick size reduction and price clustering in a FX order book," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 488-498.
    19. Aviral Tiwari & Niyati Bhanja & Arif Dar & Faridul Islam, 2015. "Time–frequency relationship between share prices and exchange rates in India: Evidence from continuous wavelets," Empirical Economics, Springer, vol. 48(2), pages 699-714, March.
    20. Dufour, Jean-Marie & García, René & Taamouti, Abderrahim, 2008. "Measuring causality between volatility and returns with high-frequency data," UC3M Working papers. Economics we084422, Universidad Carlos III de Madrid. Departamento de Economía.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:12:y:2012:i:4:p:501-508. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RQUF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.