Glattfelder, J. B.; Dupuis, A.; Olsen, R. B. - In: Quantitative Finance 11 (2010) 4, pp. 599-614
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...