The scale of market quakes

Details The scale of market quakes The scale of market quakes

2009-09-09

arxiv.org/abs/0909.1690v1

Economy

Quantitative Finance

Trading and Market Microstructure

9 pages, 4 figures

Scientific paper

We define a methodology to quantify market activity on a 24 hour basis by defining a scale, the so-called scale of market quakes (SMQ). The SMQ is designed within a framework where we analyse the dynamics of excess price moves from one directional change of price to the next. We use the SMQ to quantify the FX market and evaluate the performance of the proposed methodology at major news announcements. The evolution of SMQ magnitudes from 2003 to 2009 is analysed across major currency pairs.

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