June 2012 |
High Frequency Finance - Using Scaling Laws to Build Trading Models |
Alexandre Dupuis
Richard Olsen
|
Olsen, Switzerland
University of Essex, UK
|
| |
April 2011 |
Trading Dynamics in the Foreign Exchange Market - A Latent Factor Panel Intensity Approach |
Ingmar Nolte
Valeri Voev
|
Warwick Business School, UK
Aarhus University, Denmark
|
| |
October 2010 |
Essays on Measuring, Modeling and Forecasting Time-varying Risk in Financial Markets |
Xuan Xie
|
University of New South Wales,Sydney, Australia
|
| |
June 2010 |
Analysis of Singapore's Foreign Exchange Market Microstructure |
Chee Wai Wan
|
Singapore Management University
|
| |
May 2010 |
Volatility Transmission in Emerging European Foreign Exchange Markets |
Vít Bubák
Evžen Kočenda
Filip Žikeš
|
Sorbonne University, Paris, France
Charles University, Prague, Czech Republic
Imperial College, London, UK
|
| |
February 2010 |
How Do Individual Investors Trade? |
Ingmar Nolte
Sandra Nolte
|
Warwick Business School, UK
|
| |
April 2009 |
Trading Dynamics in the Foreign Exchange Market |
Ingmar Nolte
Valeri Voev
|
Warwick Business School, UK
Aarhus University, Denmark
|
| |
March 2008 |
Currency Transaction Tax - Rate and Revenue Estimates |
Rodney Schmidt
|
The North-South Institute, Canada
United Nations University
War on Want, UK
|
| |
March 2008 |
Forecasting Realized Volatility - A Bayesian Model Averaging Approach |
Chun Liu
John M Maheu
|
Tsinghua University, China
University of Toronto
|
| |
October 2007 |
Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets |
Kevin E Bassler
Joseph L McCauley
Gemunu H Gunaratne
|
Dept. of Physics, University of Houston, USA
Texas Center for Superconductivity
J E Cairnes Graduate School of Business and Public Policy, National University of Ireland
Institute of Fundamental Studies, Kandy, Sri Lanka
|
| |
October 2007 |
Exchange Rate Variability, Market Activity and Heterogeneity |
Dagfinn Rime
Genaro Sucarrat
|
Norges Bank, Norway
Universidad Carlos III de Madrid, Spain
|
| |
July 2007 |
Order Flows, News, and Exchange Rate Volatility |
Michael Frömmel
Alexander Mende
Lukas Menkhoff
|
Ghent University, Belgium
Leibniz Universität Hannover, Germany
Risk and Portfolio Management, Sweden
|
| |
March 2007 |
Customer Trading in the Foreign Exchange Market Empirical Evidence from an Internet Trading Platform |
Sandra Lechner
Ingmar Nolte
|
University of Konstanz
|
| |
February 2007 |
Stock Market Return, Order Flow and Financial Market Likages |
Jan-Magnus Moberg
Genaro Sucarrat
|
Norwegian School of Economics and Business Administration
Universidad Carlos III de Madrid, Spain
|
| |
October 2006 |
Financial Market Linkages and Orderflow |
Jan-Magnus Moberg
Genaro Sucarrat
|
Norwegian School of Economics and Business Administration
Universidad Carlos III de Madrid, Spain
|
| |
October 2006 |
Testing the Monotonicity Property of Option Prices |
Christophe Pérignon
|
Simon Fraser University
|
| |
September 2006 |
Does the oil market learn about analyst accuracy? |
Charles Chang
Hazem Daouk
Albert Wang
|
Cornell University
|
| |
September 2006 |
Testing for Structural Changes in Exchange Rates Dependence beyond Linear Correlation |
Alexandra Dias
Paul Embrechts
|
University of Warwick
ETH, Zürich
|
| |
September 2006 |
Essays in the Study and Modelling of Exchange Rate Volatility |
Genaro Sucarrat
|
Université Catholique de Louvain
Universidad Carlos III de Madrid, Spain
|
| |
August 2006 |
Central Bank Intervention and Exchange Rate Volatility, Its Continuous and Jump Components |
Michel Beine
Jér-hannover.deôme Lahaye
Sébastien Laurent
Christopher J Neely
Franz C Palm
|
University of Luxembourg
University of Namur
Federal Reserve Bank of St. Louis
Maastricht University
|
| |
August 2006 |
On the Multi-Fractal Structure of Traded Volume in Financial Markets |
Luis G Moyano
Jeferson de Souza
Sílvio M Duarte Queirós
|
Centro Brasileiro de Pesquisas Físicas
|
| |
June 2006 |
A Nonextensive approach to the Dynamics of Financial Observables |
Sílvio M Duarte Queirós
Luis G Moyano
Jeferson de Souza
Constantino Tsallis
|
Centro Brasileiro de Pesquisas Físicas
Santa Fe Institute
|
| |
June 2006 |
Intraday Linkages across International Equity Markets |
Kari Harju
Syed Mujahid Hussain
|
Hanken-Swedish School of Economics and Business Administration
|
| |
June 2006 |
Profits and Speculation in Intra-Day Foreign Exchange Trading |
Alexander Mende
Lukas Menkhoff
|
Leibniz Universität Hannover, Germany
|
| |
May 2006 |
Identifying the Effects of U.S. Intervention on the Levels of Exchange Rates |
Christopher J Neely
|
Federal Reserve Bank of St. Louis
|
| |
May 2006 |
On Statistical Properties of Traded Volume in Financial Markets |
Jeferson de Souza
Luis G Moyano
Sílvio M Duarte Queirós
|
Centro Brasileiro de Pesquisas Físicas
|
| |
April 2006 |
Estimating and Forecasting Volatility with Large Scale Models: Theoretical Appraisal of Professionals' Practice |
Paolo Zaffaroni
|
Imperial College London
|
| |
March 2006 |
The Technical Signal Based Trading Effects on Volatility: Evidence from the Euro/Dollar Currency Market |
Walid Ben Omrane
|
Université Catholique de Louvain
|
| |
February 2006 |
Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations approach Using Realized Volatility |
Eric Hillebrand
Gunther Schnabl
Yasemin Ulu
|
Louisiana State University
Universität Tübingen
American University of Beirut
|
| |
February 2006 |
General to Specific Modelling of Exchange Rate Volatility: A Forecast Evaluation |
Luc Bauwens
Genaro Sucarrat
|
Université Catholique de Louvain
Universidad Carlos III de Madrid, Spain
|
| |
January 2006 |
Exchange Rate Volatility and Heterogeneity |
Dagfinn Rime
Genaro Sucarrat
|
Norges Bank, Norway
Université Catholique de Louvain
|
| |
December 2005 |
Using Self-Organizing Maps to Adjust Intra-Day Seasonality |
Walid Ben Omrane
Eric de Bodt
|
Université Catholique de Louvain
|
| |
December 2005 |
Do Central Banks Interventions Bring Noise on the Market? |
Jean-Yves Gnabo
Christelle Lecourt
Sébastien Laurent
|
University of Namur
Université Catholique de Louvain
|
| |
November 2005 |
Were Verbal Efforts to Support the Euro Effective? A High-Frequency Analysis of ECB Statements |
David-Jan Jansen
Jakob de Hann
|
De Nederlandsche Bank
University of Groningen
|
| |
September 2005 |
Variation, Jumps and High Hrequency Data in Financial Econometrics |
Ole E Barndorff-Nielsen
Neil Shephard
|
University of Aarhus
University of Oxford
|
| |
July 2005 |
The Performance Analysis of Chart Patterns: Monte Carlo Simulation and Evidence from the Euro/Dollar Foreign Exchange Market |
Walid Ben Omrane
Hervé Van Oppens
|
Université Catholique de Louvain
|
| |
July 2005 |
Modeling and Forecasting Realized Variance Measures |
Eric Zivot
|
University of Washington
|
| |
July 2005 |
The Effectiveness of Official Foreign Exchange Intervention in a Small Open Economy: The Case of the Canadian Dollar |
Rasmus Fatum
Michael R King
|
University of Alberta
Bank of Canada
|
| |
June 2005 |
Estimation of the Stylized Facts of a Stochastic Cascade Model |
Celine Azizieh
Wolfgang Breymann
|
Université Libre de Bruxelles
ETH, Zürich
|
| |
May 2005 |
Change in Unconditional Exchange Rate Volatility: GBP and USD Price of the Euro 2002-2003 |
Richard Heaney
Kerry Pattenden
|
RMIT University
University of Sydney
|
| |
April 2005 |
Exchange Rate Volatility and the Mixture of Distribution Hypothesis |
Luc Bauwens
Dagfinn Rime
Genaro Sucarrat
|
Université Catholique de Louvain
Norges Bank, Norway
|
| |
April 2005 |
Time and Foreign Exchange Markets |
Luca Berardi
Maurizio Serva
|
Università degli Studi, L'Aquila
|
| |
March 2005 |
Daily Effects of Foreign Exchange Intervention: Evidence from Official Bank of Canada Data |
Rasmus Fatum
|
University of Alberta
|
| |
February 2005 |
09/11 on the USD/EUR Foreign Exchange Market |
Alexander Mende
|
Leibniz Universität Hannover, Germany
|
| |
February 2005 |
The Role of U.S. Trading in Pricing Internationally Cross-Listed Stocks |
Joachim Grammig
Michael Melvin
Christian Schlag
|
University of Tübingen
Arizona State University
Göethe Universität Frankfurt
|
| |
December 2004 |
Analysis of High Frequency Financial Data |
Robert F Engle
Jeffrey R Russell
|
New York University
University of California - San Diego
University of Chicago
|
| |
October 2004 |
Rules Versus Discretion in Foreign Exchange Intervention: Evidence from Official Bank of Canada High-Frequency Data |
Rasmus Fatum
Michael R King
|
University of Alberta
Bank of Canada
|
| |
September 2004 |
The Self-Organizing Maps for Seasonality Adjustment (SOM): Application to The Euro/Dollar Foreign Exchange Volatility and Quoting Activity |
Walid Ben Omrane
Eric de Bodt
|
Université Catholique de Louvain
|
| |
September 2004 |
Testing Normality: a GMM approach |
Christian Bontemps
Nour Meddahi
|
University of Toulouse
University of Montreal
|
| |
September 2004 |
How well can Autoregressive Duration Models Capture the Price Durations Dynamics of Foreign Exchanges |
Yanhui Liu
Yongmiao Hong
Shouyang Wang
|
Chinese Academy of Sciences
Cornell University
Tsinghua University
|
| |
June 2004 |
Dynamic Copula Models for Multivariate High-Frequency Data in Finance |
Alexandra Dias
Paul Embrechts
|
University of Warwick
ETH, Zürich
|
| |
June 2004 |
The Foreign Exchange Quoting Activity as an Informative Signal |
Walid Ben Omrane
Andréas Heinen
|
Université Catholique de Louvain
|
| |
June 2004 |
Volatility-Return Dynamics across different Timescales |
Ramazan Gençay
Faruk Celçuk
|
Simon Fraser University
Bilkent University
|
| |
May 2004 |
The Predictive Success and Profitability of Chart Patterns in the Euro/Dollar Foreign Exchange Market |
Walid Ben Omrane
Hervé Van Oppens
|
Université Catholique de Louvain
|
| |
May 2004 |
Intraday Empirical Analysis and Modeling of Diversified World Stock Indices |
Wolfgang Breymann
Leah Kelly
Eckhard Platen
|
ETH, Zürich
University of Technology - Sydney
|
| |
November 2003 |
Power and Bipower Variation with Stochastic Volatility and Jumps |
Ole E Barndorff-Nielsen
Neil Shephard
|
Center for Mathematical Physics and Stochastics [MaPhySto]
University of Aarhus
Nuffield College, University of Oxford
|
| |
November 2003 |
Econometrics of Testing for Jumps in Financial Economics using Bipower Variation |
Ole E Barndorff-Nielsen
Neil Shephard
|
University of Aarhus
University of Oxford
|
| |
November 2003 |
Effectiveness of Official Daily Foreign Exchange Market Intervention Operations in Japan |
Rasmus Fatum
Michael M Hutchison
|
University of Alberta
University of California - Santa Cruz
|
| |
November 2003 |
Analysis of High-Frequency Financial Data with S-Plus |
Bingcheng Yan
Eric Zivot
|
University of Washington
|
| |
September 2003 |
The Response of Individual FX Dealers' Quoting Activity to Macroeconomic News Announcements |
Walid Ben Omrane
Andréas Heinen
|
Université Catholique de Louvain
|
| |
August 2003 |
Some aspects of Lévy processes in finance |
Johan Tykesson
|
Chalmers University of Technology
Góteborg University
|
| |
August 2003 |
Bolsa or NYSE: Price Discovery for Mexican Shares |
George M. von Furstenberg
Carlos B. Tabora
|
Indiana University
Fordham University
|
| |
July 2003 |
When do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements? |
Kathryn M Dominguez
|
National Bureau of Economic Research
University of Michigan
|
| |
June 2003 |
A Programmable Architecture for Real-time Derivative Trading |
Sachin Tandon
|
University of Edinburgh
|
| |
June 2003 |
Pouvair Predictif et Profitabilite des Fugures Chartistes: Application au Marche des Changes Euro/Dollar |
Walid Ben Omrane
Hervé Van Oppens
|
Université Catholique de Louvain
|
| |
June 2003 |
The Information Content of Implied Prices: Test of the Option Boundary approach |
Peter Lung
R Stephen Sears
|
University of Dayton
Texas Tech University
|
| |
May 2003 |
Uncovered Interest Parity: It works, but not for long |
Alain P Chaboud
Jonathan H Wright
|
Board of Governors of the Federal Reserve System
|
| |
January 2003 |
Central Bank Interventions and Jumps in Double Long Memory Models of Daily Exchange Rates |
Michel Beine
Sébastien Laurent
|
Université Libre de Bruxelles
Catholic University of Louvain
Université de Liège
Maastricht University
|
| |
January 2003 |
Dependence Structures for Multivariate High Frequency Data in Finance |
Wolfgang Breymann
Alexandra Dias
Paul Embrechts
|
ETH, Zürich
|
| |
December 2002 |
Microstructures in the Indian Foreign Exchange Market |
N R Bhanumurthy
|
Institute of Economic Growth
University of Delhi Enclave
|
| |
October 2002 |
Dynamical Model of Financial Markets: Fluctuating Temperature causes Intermittent Behavior of Price Changes |
Naoki Kozuki
Nobuko Fuchikami
|
Hitachi High-Technologies Corporation
Tokyo Metropolitan University
|
| |
October 2002 |
Y2K Fears and Safe Haven Trading of the US Dollar |
Aditya Kaul
Stephan Sapp
|
University of Alberta
Richard Ivey School of Business
University of Western Ontario
|
| |
October 2002 |
Microeconomic Models for Long-Memory in the Volatility of Financial Time Series |
Alan Kirman
Gilles Teyssiere
|
Groupement de Recherche en Economie Quantitative d'Aix-Marseille [GREQAM]
Catholic University of Louvain
Center for Operations Research
and Econometrics [CORE]
|
| |
October 2002 |
Measuring and Forecasting Financial Variability using Realised Variance with and without a Model |
Ole E Barndorff-Nielsen
Brent Nielsen
Neil Shephard
Carla Ysusi
|
Center for Mathematical Physics and Stochastics [MaPhySto]
University of Aarhus
Nuffield College, University of Oxford
Dept. of Statistics, University of Oxford
|
| |
September 2002 |
A Transaction Level Study of the Effects of Central Bank Intervention on Exchange Rates |
Richard Payne
Paolo Vitale
|
Financial Markets Group
London School of Economics
|
| |
June 2002 |
Financial Volatility, Lévy Processes and Power Variation |
Ole E Barndorff-Nielsen
Neil Shephard
|
Center for Mathematical Physics and Stochastics [MaPhySto]
University of Aarhus
Nuffield College, University of Oxford
|
| |
June 2001 |
Econometric Analysis of Realised Volatility and its use in Estimating Stochastic Volatility Models |
Ole E Barndorff-Nielsen
Neil Shephard
|
Center for Mathematical Physics and Stochastics [MaPhySto]
University of Aarhus
Nuffield College, University of Oxford
|
| |
February 2001 |
What can we learn about Monetary Policy Transparency from Financial Market Data? |
Andrew Clare
Roger Courtenay
|
Bank of England
|
| |
November 2000 |
Scaling in Financial Prices: Multifractals and the Star Equation |
Benoit B Mandelbrot
|
Yale University
|
| |
November 1999 |
How To Quantify Deterministic and Random Influences on the Statistics of the Foreign Exchange Market |
R Friedrich
J Peinke
Ch Renner
|
Institute für Theoretische Physik
Universität Oldenberg
|
| |
September 1999 |
The Market Microstructure of Central Bank Intervention |
Kathryn M Dominguez
|
National Bureau of Economic Research
University of Michigan
|
| |
July 1999 |
Volatility Persistence and Apparent Scaling Laws in Finance |
Blake LeBaron
|
Brandeis University
|
| |
March 1999 |
Price Discovery on Freign Exchange Markets with Differentially Informed Traders |
Frank de Jong
Ronald Mahieu
Peter Schotman
Irma van Leeuwen
|
University of Amsterdam
Erasmus University of Rotterdam
Limburg Institute, University of Maastricht
Centre for Economic Policy Research
|
| |
September 1997 |
Multifractality of Deutschemark/ US Dollar Exchange Rates |
Adlai Fisher
Laurent Calvet
Benoit Mandelbrot
|
Yale university
|
| |
August 1997 |
Modeling Volatility Using State Space Models |
Jens Timmer
Andreas Weigand
|
Universität Freiburg
Stern School of Business, New York University
|
| |