The scale of market quakes

DOI10.1080/14697688.2011.609180zbMath1278.91184arXiv0909.1690OpenAlexW2037724591MaRDI QIDQ2873023

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Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0909.1690

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items (2)

Profiling high-frequency equity price movements in directional changes ⋮ Intelligent dynamic backlash agent: a trading strategy based on the directional change framework

Cites Work

• From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
• MEASURING SHOCK IN FINANCIAL MARKETS

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