A directional-change event approach for studying financial time series
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References listed on IDEAS
- 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.
- Allais, Maurice, 1974. "The Psychological Rate of Interest," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 6(3), pages 285-331, August.
- J. B. Glattfelder & A. Dupuis & R. B. Olsen, 2010.
"Patterns in high-frequency FX data: discovery of 12 empirical scaling laws,"
Taylor & Francis Journals, vol. 11(4), pages 599-614.
- 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.
More about this item
Keywordsdirectional-change event; intrinsic time; high-frequency finance; foreign exchange market; time-series analysis;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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