Patterns in high-frequency FX data: Discovery of 12 empirical scaling laws

Quantitative Finance

Volumn 11, Issue 4, 2011, Pages 599-614

  Glattfelder, J B ^a   Dupuis, A ^a,b   Olsen, R B ^a,b  

^a Olsen Ltd   (Switzerland)

^b UNIVERSITY OF ESSEX   (United Kingdom)

Author keywords

Empirical time series analysis; Financial time series; Foreign exchange markets; Power laws

Indexed keywords

EID: 79953197228     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697688.2010.481632     Document Type: Article

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