This folder holds the following references to publications, sorted by year and author.
There are 14 references in this bibliography folder.
Bisig, T, Dupuis, A, Impagliazzo, V, and Olsen, R
The scale of market quakes
Quantitative Finance, 12(4):501-508.
Glattfelder, J, Dupuis, A, and Olsen, R
Patterns in high-frequency FX data: discovery of 12 empirical scaling laws
Quantitative Finance, 11(4):599-614.
Kablan, A and Ng, W
Intraday high-frequency FX trading with adaptive neuro-fuzzy inference systems
International Journal of Financial Markets and Derivatives, 2(1/2):68-87.
Directional changes, definitions
Centre for Computational Finance and Economic Agents (CCFEA), University of Essex, UK.
Dacorogna, M, Gençay, R, Müller, U, Olsen, R, and Pictet, O
An introduction to high-frequency finance
Academic Press, San Diego.
Guillaume, D, Dacorogna, M, Davé, R, Müller, U, Olsen, R, and Pictet, O
From the bird's eye to the microscope: a survey of new stylized facts of the intra-daily foreign exchange markets
Finance Stoch., 1(2):95-129.
Muller, UA, Dacorogna, MM, Dave, RD, Pictet, OV, Olsen, RB, and Ward, J
Fractals and Intrinsic Time – A Challenge to Econometricians
Olsen and Associates, Working Papers(1993-08-16).
Estimating continuous-time processes subject to time deformation
Journal of the American Statistical Association, 83(401):77-85.
The psychological rate of interest
Journal of Money Credit and Banking, 3(3):285-331.
Mandelbrot, B and Taylor, H
On the distribution of stock prices differences
Operations Research, 15(6):1057-1062.