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 markets ⋮ Volatility clustering in agent based market models ⋮ A THRESHOLD MODEL FOR STOCK RETURN VOLATILITY AND TRADING VOLUME ⋮ VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS ⋮ MONTE CARLO DERIVATIVE PRICING WITH PARTIAL INFORMATION IN A CLASS OF DOUBLY STOCHASTIC POISSON PROCESSES WITH MARKS ⋮ ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL ⋮ Quantifying and understanding the economics of large financial movements ⋮ Profiling high-frequency equity price movements in directional changes ⋮ ASYMPTOTICS FOR GARCH SQUARED RESIDUAL CORRELATIONS ⋮ Structural Clustering of Volatility Regimes for Dynamic Trading Strategies ⋮ A Multivariate GARCH Model Incorporating the Direct and Indirect Transmission of Shocks ⋮ Realistic Statistical Modelling of Financial Data ⋮ Geometric ergodicity of the multivariate COGARCH(1,1) process ⋮ Empirical scaling laws and the aggregation of non-stationary data ⋮ Common volatility and correlation clustering in asset returns ⋮ Monitoring persistent change in a heavy-tailed sequence with polynomial trends ⋮ Multivariate supOU processes ⋮ A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA ⋮ Intelligent dynamic backlash agent: a trading strategy based on the directional change framework ⋮ Classification of normal and abnormal regimes in financial markets ⋮ Truncating estimation for the change in stochastic trend with heavy-tailed innovations ⋮ Power-law behaviour evaluation from foreign exchange market data using a wavelet transform method ⋮ A partially observed ultra-high-frequency data model: risk-minimizing hedging ⋮ Block bootstrap testing for changes in persistence with heavy-tailed innovations ⋮ Statistical properties of stock order books: empirical results and models ⋮ Speculative markets and the effectiveness of price limits ⋮ Testing the Gaussian copula hypothesis for financial assets dependences ⋮ Value-at-Risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions ⋮ Representativeness of news and exchange rate dynamics ⋮ Speculative behavior and the dynamics of interacting stock markets ⋮ THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL ⋮ Switching phenomena in a system with no switches ⋮ Bootstrap testing multiple changes in persistence for a heavy-tailed sequence ⋮ An introduction to statistical finance ⋮ Testing for parameter constancy in GARCH\((p,q)\) models ⋮ Institutional architectures and behavioral ecologies in the dynamics of financial markets ⋮ From rational bubbles to crashes ⋮ Price fluctuations from the order book perspective - empirical facts and a simple model ⋮ Ensemble properties of high-frequency data and intraday trading rules ⋮ MARKET STATISTICS OF A PSYCHOLOGY-BASED HETEROGENEOUS AGENT MODEL ⋮ Tail dependence and heavy tailedness in extreme risks ⋮ Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model ⋮ Empirical Performance and Asset Pricing in Hidden Markov Models ⋮ Time-Varying Periodicity in Intraday Volatility ⋮ Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading ⋮ Empirical distributions of stock returns: between the stretched exponential and the power law? ⋮ Monitoring persistence change in infinite variance observations ⋮ The sample autocorrelations of heavy-tailed processes with applications to ARCH ⋮ Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes ⋮ Bounds on mean absolute deviation portfolios under interval-valued expected future asset returns ⋮ Estimation and filtering by reversible jump MCMC for a doubly stochastic Poisson model for ultra-high-frequency financial data ⋮ Functional prediction of intraday cumulative returns ⋮ Generalised long-memory GARCH models for intra-daily volatility ⋮ Portfolio diversification and value at risk under thick-tailedness† ⋮ Agent-based modelling in directional-change intrinsic time ⋮ Asymptotics of the sample coefficient of variation and the sample dispersion ⋮ Energy price risk management ⋮ Scaling laws: a viable alternative to value at risk? ⋮ Local prelimit theorems and their applications to finance ⋮ Nonparametric vector autoregression ⋮ Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models ⋮ Monitoring Change in Persistence Against the Null of Difference-Stationarity in Infinite Variance Observations ⋮ Scaling properties of foreign exchange volatility ⋮ Hedged Monte-Carlo: low variance derivative pricing with objective probabilities ⋮ Fokker-Planck equation of distributions of financial returns and power laws ⋮ ``Slimming of power-law tails by increasing market returns ⋮ Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence ⋮ Option pricing with non-Gaussian scaling and infinite-state switching volatility ⋮ Limit order books ⋮ The 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