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Quantitative Finance Volume 12, 2012 - Issue 4: High Frequency Data Analysis
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Feature

The scale of market quakes

T. Bisig Olsen Ltd., Seefeldstrasse 233, 8008 Zurich, Switzerland
,
A. Dupuis Olsen Ltd., Seefeldstrasse 233, 8008 Zurich, Switzerland; Centre for Computational Finance and Economic Agents (CCFEA), University of Essex, UKCorrespondence[email protected]
,
V. Impagliazzo Olsen Ltd., Seefeldstrasse 233, 8008 Zurich, Switzerland
&
R. B. Olsen Olsen Ltd., Seefeldstrasse 233, 8008 Zurich, Switzerland; Centre for Computational Finance and Economic Agents (CCFEA), University of Essex, UK
Pages 501-508 | Received 23 Jun 2010, Accepted 27 Jul 2011, Published online: 22 Mar 2012

References

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  • Boucher , C , Kouontchou , P , Maillet , B and Raymond , H . 2009 . A wavelet-heterogeneous index of market shocks for assessing the magnitude of financial crises . ESANN 2009 Proceedings ,
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  • Dacorogna , MM , Gençay , R , Müller , UA , Olsen , RB and Pictet , OV . 2001 . An Introduction to High-frequency Finance , San Diego : Academic Press .
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  • Maillet , B and Michel , T . 2003 . An index of market shocks based on multiscale analysis . Quant. Finance , 3 : 88 – 97 .
  • Maillet , B and Michel , T . 2005 . The impact of the 9/11 events on the American and French stock markets . Rev. Int. Econ. , 13 : 597 – 611 .
  • Olsen , RB and Cookson , C . 2009 . How science can prevent the next bubble . Financial Times , February 12
  • Richter , CF . 1958 . Elementary Seismology , San Francisco : Freeman .
  • Simonsen , I , Jensen , MH and Johansen , A . 2002 . Optimal investment horizons . Eur. Phys. J. B , 27 : 583 – 586 .
  • Subbotin , A . 2008 . A multi-horizon scale for volatility , Available online at: http://hal-paris1.archives-ouvertes.fr/docs/00/26/15/14/PDF/Bla08020.pdf
  • Zumbach , GO , Dacorogna , MM , Olsen , JL and Olsen , RB . 2000 . Measuring shock in financial markets . Int. J. Theor. Appl. , 3 : 347 – 355 .

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