Patterns in high-frequency FX data: Discovery of 12 empirical scaling laws

Details Patterns in high-frequency FX data: Discovery of 12 empirical scaling laws Patterns in high-frequency FX data: Discovery of 12 empirical scaling laws

2008-09-05

arxiv.org/abs/0809.1040v2

Quant. Financ. 11(4), 599 - 614 (2011) - published online Oct. 2010

Economy

Quantitative Finance

Statistical Finance

26 pages, 3 figures, 23 tables,2nd version (text made more concise and readable, algorithm pseudocode, results unchanged), 5-y

Scientific paper

10.1080/14697688.2010.481632

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 stylised facts and sharply constrain the space of possible theoretical explanations of the market mechanisms.

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