Year: 2010
Type: article
Abstract: 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.
Source: Quantitative Finance
Authors: J. B. Glattfelder, A. Dupuis, R. B. Olsen
Institution: University of Essex
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2158408140