Published Papers

Most of the following O&A papers should be available in your library. If not, please check out the "UnCover" database or ask your local reference librarian for pointers.

Patterns in high-frequency FX data: Discovery of 12 empirical scaling laws
James B. Glattfelder, Alexandre Dupuis and Richard Olsen
Published in Quantitative Finance, Volume 11 (4), 2011, 599-614, available at arXiv.org

Market heterogeneities and causal structure of volatility
Paul E. Lynch and Gilles O. Zumbach
Published in Quantitative Finance, Volume 3, 2003, 320-331.

Real-time foreign exchange trading models and market behavior
Ramzan Gençay, Michel Dacorogna, Richard Olsen and Olivier Pictet
Published in Journal of Economic Dynamics and Control, 2003, 909-935.

Real-time trading models and statistical properties of foreign exchange rates
Ramzan Gençay, Giuseppe Ballocchi, Michel Dacorogna, Richard Olsen and Olivier Pictet
Published in International Economic Review, 2002, 43, 463-491.

Genetic Programming with Syntactic Restrictions applied to Financial Volatility Forecasting
Gilles Zumbach, Olivier V. Pictet and Oliver Masutti
Published in "Computational Methods in Decision-Making, Economics and Finance", edited by E. J. Kontoghioghes, B. Rustem and S. Siokos, Kluver Academic Publishers, 2002, 557-581.

Heterogeneous volatility cascade in financial markets
Gilles Zumbach and Paul Lynch
Physica A, Volume 298, No. 3-4, pp. 521-529 (2001).

Consistent High-Precision Volatility from High-Frequency Data
Fulvio Corsi, Gilles Zumbach, Ulrich Müller and Michel Dacorogna
"Economics notes", Volume 30, No. 2, pp. 183-204 (2001)

Effective return, risk aversion and drawdowns in foreign exchange markets
Ramzan Gençay, Michel Dacorogna, Ulrich Müller and Olivier Pictet
Published in Physica A, Volume 289, pp. 229-248 (2001)

BOOK REVIEW: An Introduction to High-Frequency Finance
Andrea Terzi
Published in "International Review of Economics and Finance", Volume 12, Issue 4, pp. 417-538 (2003)

Operators on Inhomogeneous Time Series
Gilles Zumbach, Ulrich A. Müller
Published in "International Journal of Theoretical and Applied Finance", Volume 4, No 1, pp. 147-178 (2001)

Orla: A data flow programming system for processing very large time series
Gilles Zumbach, Adrian Trapletti
Published in the "Proceedings of the 2nd International Workshop on Distributed Statistical Computing" http://www.ci.tuwien.ac.at/Conferences/DSC-2001/Proceedings/

The Fallacy of the Invisible Hand
Richard Olsen
Published in Visions of Risk (ed. C. Alexander), pp. 94-100, Pearson Education Ltd ISBN 0 877 78329 8 (2000)

Time-to-Expiry Seasonalities in Eurofutures
Giusppe Ballocchi, Michel M. Dacorogna, Ramazan Gençay, Barbara Piccinato
Published in "Studies in Nonlinear Dynamics and Econometrics", GBA.2000.08.08 (2000)

The intraday multivariate structure of the Eurofutures markets
Giuseppe Ballocchi, Michel M. Dacorogna, Carl M. Hopman, Ulrich A. Müller and Richard B. Olsen
Published in "Journal of Empirical Finance", No. 6, pp. 479-513, GBA.1997-11-25 (1997)

Real time trading models and the statistical properties of foreign exchange rates
Ramazan Gençay, Giuseppe Ballocchi, Michel M. Dacorogna, Richard B. Olsen and Olivier Pictet
Published in "Internatnional Economic Review, 2000", RAG.1998.01.30

Market Crises, Shock of the new
Gilles O. Zumbach, Michel M. Dacorogna, Jorgen L. Olsen and Richard B. Olsen
Published in " Risk magazine" Volume 13, No. 3, March, 2000, pp. 110-114, ID: GOZ.2000-01-01

The Pitfalls in Fitting GARCH (1,1) Processes
Gilles O. Zumbach
Published in "Advances in Quantitative Asset Management" Studies in Computational Finance edited by Christian L. Dunis, Kluwer academic publishers, pp. 179-200, ISBN 0-7923-7778-8

Measuring Shock in Financial Markets
Gilles O. Zumbach, Michel M. Dacorogna, Jorgen L. Olsen and Richard B. Olsen
Published in "International Journal of Theoretical and Applied Finance" Volume 3, No. 3 (2000), World Scientific Publishing Company, pp. 347-355, ISSN 0219-0249

Correlation of High-Frequency Finacial Time Series
Mark Lundin, Michel M. Dacorogna and Ulrich A. Müller
Published in "Financial Markets tick by tick", Pierre Lequeux; John Wiley & Sons, Publisher, 1999, pp. 91-126 ISBN 0-471-98160-5

Intraday Statistical Properties of Eurofutures
Barbara Piccinato, Giuseppe Ballocchi, Michel M. Dacarogna, Ramazan Gençay
Published in "Derivatives Quarterly", Volume 6, Number 2, Winter 1999, A Publication of institutional Investor, Inc., 488 Madison Avenue, New York, N. Y. 10022, pp. 28-44

Considering Time as the random variable: first hitting time
Gilles O. Zumbach
Published in "neutral Network World", march, 1998, pp. 243-253

Die statistische Evaluation von Finanzmark-Prognosen, Aktives Portfolio Management: Der Anlageentscheidungsprozess von der Prognose bis zum Portfolio
Edited by C. Kutscher und G. Schwarz
Published in "Neue Zuercher Zeitung, Verlag, 1998"

Hill, Bootstrap and Jackknife, Estimators for Heavy Tails
Olivier V. Pictet, Michel M. Dacorogna, Ulrich A. Müller
Published in "A Practical Guide to Heavy Tails" by Robert J. Adler, Raisa E. Feldman and Murad S. Taqqu; Birkhäuser Publishers, 1998, pp. 283-311, ISBN 0-8176-3951-9

Heavy Tails in High-Frequency Financial Data
Ulrich A. Müller, Michel M. Dacorogna and Olivier V. Pictet
Published in "A Practical Guide to Heavy Tails by Robert J. Adler, Raisa E. Feldman and Murad S. Taqqu; Birkhäuser Publishers, 1998, pp. 55-79, ISBN 0-8176-3951-9

How heavy are the tails of a stationary HARCH (k) process? A study of the moments.
Michel M . Dacorogna, Ulrich A. Müller, Professor Paul Embrechts and Professor Gennady Samorodnitsky, 1995
Published in "Stochastic Processes and Related Topics by Karatzas, Rajput and Taqqu; Birkhäuser Publishers / Springer Verlag, 1998, ISBN 0-8176-3998-5

Modelling Short-Term volatility with GARCH and HARCH Models
Michel M. Dacorogna, Ulrich A. Müller, Richard B. Olsen, Olivier V. Pictet, 1997
Published in "Nonlinear Modelling of High Frequency Financial Time Series" by Christian Dunis, Bin Zhou, John Wiley & Sons, Publisher, 1998, ISBN 0-471-97464-1

Volatilities of Different Time Resolutions - Analyzing the Dynamics of Market Components
Ulrich A. Müller, Michel M. Dacorogna, Rakhal Davé, Richard B. Olsen, Olivier V. Pictet and Jakob E. von Weizsäcker, June 1997
Journal of Empirical Finance, Volume 4, No. 2-3, pp. 213-240

From the Bird's Eye to the Microscope: a Survey of New Stylized facts of the Intra-dails Foeign Exchange
Markets by Dominique M. Guillaume, Michel M. Dacorogna, Rakhal D. Davé, Ulrich A. Müller, Richard B. Olsen and Olivier V. Pictet, 1997
Finance and Stochastics, Volume 1, pp. 95-129

Changing Time Scale for Short-term Forecasting in Financial Markets
Michel M. Dacorogna, Cindy L. Gauvreau, Ulrich A. Müller, Richard B. Olsen and Olivier V. Pictet, 1996
Journal of Forecasting, special issue on non-linear forecasting, Volume 15, No. 3, pp. 203-227

Heterogeneous Real-Time Trading Strategies in the Foreign Exchange Market
Michel M. Dacorogan, Ulrish A. Müller, Christian Jost, Olivier V. Pictet, Richard B. Olsen and J. Robert Ward, 1995
The European Journal of Finance, Volume 1, pp. 383-403

Using Genetic Algorithm for Robust Optimization in Financial Applications
Olivier V. Pictet, Michel M. Dacorogna, Bastien Chopard, Mouloud Oudsaidene, Roberto Schirru and Marco Tomassini, 1995
Neural Network World, Volume 5, No. 4, pp. 573-587

A Geographical Model for the Daily and Weekly Seasonal Volatility in the Foreign Exchange Market
Michel M. Dacorogna, Ulrich A. Müller, Robert J. Nagler, Richard B. Olsen and Olivier V. Pictet, 1993
Journal of International Money and Finance, Volume 12, No. 4, pp. 413-438

Real-Time Trading Models for Foreign Exchange Rates
Olivier V. Pictet, Michel M. Dacorogna, Ulrich A. Müller, Richard B. Olsen and J. Robert Ward, 1992
Neural Network World, Volume 2, No. 6, pp. 713-744

Statistical Study of Foreign Exchange Rates, Empirical Evidence of a Price Change Scaling Law, and Intraday Analysis
Ulrich A. Müller, Michel M. Dacorogna, Richard B. Olsen, M. Schwarz and C. Morgenegg, 1990
Journal of Banking and Finance, Volume 14, pp. 1189-1208

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