This study is based on an exceptionally large and automatically filtered data set containing most of the quoted prices on Reuters over 7 years. We employ semi-parametric extremal analysis. A bias reduction is attained by bootstrapping on resamples. The empirical results demonstrate the existence...

This paper presents stylized facts concerning the spot intra-daily foreign exchange markets. It first describes intra-daily data and proposes a set of definitions for the quantities of interest. Empirical regularities of the foreign exchange intra-daily data are then grouped under three major...

The purpose of this paper is to suggest a new measure of trading model performance which accounts for the following requirements: 1. a high total return; 2. a smooth behavior around a straight line; 3. a small clustering of losses; 4. no bias towards low-frequency trading models. It is important...

The real-life experience of our customers shows that we successfully forecast foreign exchange (FX) price movements for short to medium-term time horizons. This is substantiated by a positive forecast quality and high trading model returns. We have to ask ourselves why Oamp;A is able to...

Two 'event' scales for financial markets, called 'scale of market shocks' (SMS), are introduced, which measure the importance of the market movements. These indices are based on the price volatility and are computed by integrating mapped asset volatilities over time horizons that range from 1...

Credit risk models like Moody’s KMV are now well established in the market and give bond managers reliable estimates of default probabilities for individual firms. Until now it has been hard to relate those probabilities to the actual credit spreads observed on the market for corporate bonds....