From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets

From MaRDI portal
Publication:1367701

DOI10.1007/s007800050018zbMath0889.90021OpenAlexW1969306056MaRDI QIDQ1367701

Olivier V. Pictet, Richard B. Olsen, Rakhal R. Davé, Ulrich A. Müller, Michel M. Dacorogna, Dominique M. Guillaume

Publication date: 4 June 1998

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050018




Related Items

Scaling, self-similarity and multifractality in FX marketsVolatility clustering in agent based market modelsA THRESHOLD MODEL FOR STOCK RETURN VOLATILITY AND TRADING VOLUMEVOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTSMONTE CARLO DERIVATIVE PRICING WITH PARTIAL INFORMATION IN A CLASS OF DOUBLY STOCHASTIC POISSON PROCESSES WITH MARKSON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODELQuantifying and understanding the economics of large financial movementsProfiling high-frequency equity price movements in directional changesASYMPTOTICS FOR GARCH SQUARED RESIDUAL CORRELATIONSStructural Clustering of Volatility Regimes for Dynamic Trading StrategiesA Multivariate GARCH Model Incorporating the Direct and Indirect Transmission of ShocksRealistic Statistical Modelling of Financial DataGeometric ergodicity of the multivariate COGARCH(1,1) processEmpirical scaling laws and the aggregation of non-stationary dataCommon volatility and correlation clustering in asset returnsMonitoring persistent change in a heavy-tailed sequence with polynomial trendsMultivariate supOU processesA NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATAIntelligent dynamic backlash agent: a trading strategy based on the directional change frameworkClassification of normal and abnormal regimes in financial marketsTruncating estimation for the change in stochastic trend with heavy-tailed innovationsPower-law behaviour evaluation from foreign exchange market data using a wavelet transform methodA partially observed ultra-high-frequency data model: risk-minimizing hedgingBlock bootstrap testing for changes in persistence with heavy-tailed innovationsStatistical properties of stock order books: empirical results and modelsSpeculative markets and the effectiveness of price limitsTesting the Gaussian copula hypothesis for financial assets dependencesValue-at-Risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributionsRepresentativeness of news and exchange rate dynamicsSpeculative behavior and the dynamics of interacting stock marketsTHE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODELSwitching phenomena in a system with no switchesBootstrap testing multiple changes in persistence for a heavy-tailed sequenceAn introduction to statistical financeTesting for parameter constancy in GARCH\((p,q)\) modelsInstitutional architectures and behavioral ecologies in the dynamics of financial marketsFrom rational bubbles to crashesPrice fluctuations from the order book perspective - empirical facts and a simple modelEnsemble properties of high-frequency data and intraday trading rulesMARKET STATISTICS OF A PSYCHOLOGY-BASED HETEROGENEOUS AGENT MODELTail dependence and heavy tailedness in extreme risksModeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH modelEmpirical Performance and Asset Pricing in Hidden Markov ModelsTime-Varying Periodicity in Intraday VolatilityMultivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous tradingEmpirical distributions of stock returns: between the stretched exponential and the power law?Monitoring persistence change in infinite variance observationsThe sample autocorrelations of heavy-tailed processes with applications to ARCHAbsolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy ProcessesBounds on mean absolute deviation portfolios under interval-valued expected future asset returnsEstimation and filtering by reversible jump MCMC for a doubly stochastic Poisson model for ultra-high-frequency financial dataFunctional prediction of intraday cumulative returnsGeneralised long-memory GARCH models for intra-daily volatilityPortfolio diversification and value at risk under thick-tailedness†Agent-based modelling in directional-change intrinsic timeAsymptotics of the sample coefficient of variation and the sample dispersionEnergy price risk managementScaling laws: a viable alternative to value at risk?Local prelimit theorems and their applications to financeNonparametric vector autoregressionEstimating high-frequency foreign exchange rate volatility with nonparametric ARCH modelsMonitoring Change in Persistence Against the Null of Difference-Stationarity in Infinite Variance ObservationsScaling properties of foreign exchange volatilityHedged Monte-Carlo: low variance derivative pricing with objective probabilitiesFokker-Planck equation of distributions of financial returns and power laws``Slimming of power-law tails by increasing market returnsSubordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependenceOption pricing with non-Gaussian scaling and infinite-state switching volatilityLimit order booksThe scale of market quakes




This page was built for publication: From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets