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

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Author
Glattfelder, James B.
Dupuis, A.
Olsen, Richard B.
Date
2011-04
Type
  • Journal Article
Publication status
published
External links
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Journal / series
Quantitative Finance
Volume
11(4)
Pages
599 - 614
Publisher
Taylor & Francis
Subject
Power laws; Foreign exchange markets; Empirical time series analysis; Financial time series
Organisational unit
03682 - Schweitzer, Frank
Notes
Received 27 August 2008, In final form 11 March 2010.
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Citations
Cited 21 times in Web of Science
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