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arXiv:0909.1690q-fin.TR

The scale of market quakes

T. Bisig, A. Dupuis, V. Impagliazzo, R. B. Olsen

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Abstract

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.

arXiv comments
9 pages, 4 figures
Journal reference
DOI
Subjects
q-fin.TRTrading and Market Microstructure

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  1. Show HN: Scatterstocks – visualize the impact of news on stock prices 1 comment

    • That's very nice. About ten years ago I developed the 'Scale of Market Quakes' for FX data and wrote a paper [1] about it (it's terribly written!), which was then released as a web service (www.olsenscale.com, not available anymore) and journalists etc could sign up for. The…

      iSpidermanView on HNParent context

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