Foreign Exchange
Scaling in the Foreign Exchange Market
"The mean absolute changes of logarithmic prices are found to follow a scaling law against the time interval on which they are measured. This empirical law holds although the distributions of the price changes strongly differ for different interval sizes."
M�ller et al . (1990)
MULLER, U.A., et al. , 1990. Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and … . Journal of Banking and Finance. [Cited by 95 ]
MUELLER, U.A., et al. , 1990. Statistical Study of Foreign Exchange Rates, Empirical Evidence of a Price Change Scaling Law, and …. Journal of Banking and Finance. [Cited by 56 ]
LUX, T. and M. MARCHESI, 1999. Scaling and criticality in a stochastic multi-agent model of a financial market . Nature. [Cited by 249 ]
GHASHGHAIE, S., et al. , 1996. Turbulent cascades in foreign exchange markets . Nature. [Cited by 112 ]
GENCAY, R., F. SELCUK and B. WHITCHER, 2001. Scaling properties of foreign exchange volatility . Physica A. [Cited by 20 ]
GUILLAUME, D.M., et al. , 1997. … the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange … . Finance and Stochastics. [Cited by 147 ]
SCHMITT, F., D. SCHERTZER and S. LOVEJOY, 1999. Multifractal analysis of foreign exchange data . Applied Stochastic Models and Data Analysis. [Cited by 58 ]
ANDERSEN, T.G., et al. , 2002. Micro effects of macro-announcements: real-time price discovery in foreign exchange . [Cited by 95 ]
PICTET, O.V., et al. , 1997. Statistical study of foreign exchange rates, empirical evidence of a price change scaling law and …. Journal of Banking and Finance. [Cited by 11 ]
CONT, R., M. POTTERS and J.P. BOUCHAUD, 1997. Scaling in stock market data: stable laws and beyond . Scale Invariance and Beyond. [Cited by 54 ]
GALLUCCIO, S., et al. , 1997. Scaling in currency exchange . Physica A. [Cited by 32 ]
FRIEDRICH, R., J. PEINKE and C. RENNER, 2000. How to Quantify Deterministic and Random Influences on the Statistics of the Foreign Exchange Market . Physical Review Letters. [Cited by 36 ]
BOSSAERTS, P. and P. HILLION, 1991. Market microstructure effects of government intervention in the foreign exchange market . Review of Financial Studies. [Cited by 31 ]
BARNDORFF-NIELSEN, O.E. and K. PRAUSE, 2001. Apparent scaling . Finance and Stochastics. [Cited by 26 ]
AUSLOOS, M., 2000. Statistical physics in foreign exchange currency and stock markets . Physica A. [Cited by 16 ]
LEBARON, B.D., 1992. Do moving average trading rule results imply nonlinearites in foreign exchange markets? . [Cited by 22 ]
CALDARELLI, G., M. MARSILI and Y.C. ZHANG, 1997. A prototype model of stock exchange . Europhysics Letters. [Cited by 73 ]
FIGUEIREDO, A., et al. , 2003. Autocorrelation as a source of truncated Levy flights in foreign exchange rates . Physica A. [Cited by 9 ]
FLOOD, M.D., 1991. Market structure and inefficiency in the foreign exchange market . [Cited by 18 ]
DACOROGNA, M.M., et al. , 1994. The distribution of extremal foreign exchange rate returns in extremely large data sets . Olsen and Assoc. Research Group. Preprint, June. [Cited by 16 ]
KOEDIJK, K.G., P.A. STORK and C.G. DE, 1992. Differences between foreign exchange rate regimes: the view from the tails . Journal of International Money and Finance. [Cited by 14 ]
BRACHET, M.E., E. TAFLIN and J.M. TCHEOU, 1999. Scaling transformation and probability distributions for financial time series . Arxiv preprint cond-mat/9905169. [Cited by 18 ]
VANDEWALLE, N. and M. AUSLOOS, 1998. Multi-affine analysis of typical currency exchange rates . The European Physical Journal B- Condensed Matter. [Cited by 45 ]
GOPIKRISHNAN, P., et al. , 1999. Scaling of the distribution of fluctuations of financial market indices . Physical Review E. [Cited by 157 ]
IZUMI, K. and K. UEDA, 2001. Phase transition in a foreign exchange market-analysis based on an artificial market approach . IEEE Transactions on Evolutionary Computation. [Cited by 10 ]
TEYSSIERE, G., 1998. Multivariate Long-Memory ARCH Modelling for High Frequency Foreign Exchange Rates . Proceedings of the HFDF-II Conference. [Cited by 11 ]
IVANOVA, K. and M. AUSLOOS, 1999. Low q-moment multifractal analysis of Gold price, Dow Jones Industrial Average and BGL-USD exchange … . The European Physical Journal B- Condensed Matter. [Cited by 28 ]
BARNDORFF-NIELSEN, O.E. and N. SHEPHARD, 2001. Modelling by Levy processes for financial econometrics . Levy Processes-Theory and Applications. [Cited by 73 ]
ANDERSEN, T.G., et al. , 2001. The Distribution of Exchange Rate Volatility . Journal of the American Statistical Association. [Cited by 185 ]
GENCAY, R., et al. , 2002. Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates . International Economic Review. [Cited by 7 ]
SCHMITT, F., D. SCHERTZER and S. LOVEJOY, 2001. MULTIFRACTAL FLUCTUATIONS IN FINANCE . Arxiv preprint cond-mat/0102369. [Cited by 12 ]
GENCAY, R., F. SELCUK and B. WHITCHER, 2001. Differentiating intraday seasonalities through wavelet multi-scaling . Physica A. [Cited by 12 ]
BAVIERA, R., et al. , 1999. Efficiency in foreign exchange markets . Arxiv preprint cond-mat/9901225. [Cited by 7 ]
XU, Z. and R. GENCAY, 2003. Scaling, self-similarity and multifractality in FX markets . Physica A. [Cited by 8 ]
GABAIX, X., et al. , 2003. A theory of power-law distributions in financial market fluctuations . Nature. [Cited by 72 ]
EVANS, M.D.D., R.K. LYONS and M.P. PAGE, 1999. Order flow and exchange rate dynamics . [Cited by 206 ]
MUELLER, U. and M. DACOROGNA, … (1990)” Statistical Study of Foreign Exchange Rates, Empirical Evidence of a Price Change Scaling …. The Journal of Banking and Finance. [Cited by 3 ]
MELVIN, M. and B. PEIERS, 2003. The global transmission of volatility in the foreign exchange market . Review of Economics and Statistics. [Cited by 7 ]
EDDELBUETTEL, D. and T.H. MCCURDY, 1998. The Impact of News on Foreign Exchange Rates: Evidence from High Frequency Data . Manuscript, Rotman School of Management, University of …. [Cited by 6 ]
EVERTSZ, C.J.G., 1995. Self-Similarity of High-Frequency USD-DEM Exchange Rates . Proceedings of the First International Conference on High …. [Cited by 16 ]