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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Patterns in high-frequency FX data: discovery of 12 empirical scaling laws |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Quantitative Finance |
| Publisher | Taylor & Francis |
| Geographical Reach | international |
| ISSN | 1469-7688 |
| Volume | 11 |
| Number | 4 |
| Page Range | 599 - 614 |
| Date | 2011 |
| Abstract Text | We have discovered 12 independent new empirical scaling laws in foreign exchange data series that hold for close to three orders of magnitude and across 13 currency exchange rates. Our statistical analysis crucially depends on an event-based approach that measures the relationship between different types of events. The scaling laws give an accurate estimation of the length of the price-curve coastline, which turns out to be surprisingly long. The new laws substantially extend the catalogue of stylized facts and sharply constrain the space of possible theoretical explanations of the market mechanisms. |
| Digital Object Identifier | 10.1080/14697688.2010.481632 |
| Other Identification Number | merlin-id:9881 |
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