Research Library - Working Papers
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The scale of market quakes T. Bisig, A. Dupuis, V. Impagliazzo and R. B. Olsen September 9, 2009 |
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An extensive set of scaling laws and the FX coastline J. B. Glattfelder, A. Dupuis and R. B. Olsen 2008 |
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Retail Investors' Trading Behavior in the Foreign Exchange Market Ingmar Nolte May 15, 2006 |
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Customer Trading in the Foreign Exchange Market Sandra Lechner and Ingmar Nolte May 4, 2006 |
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Classical Economics: An Emperor With No Clothes Richard B. Olsen December 29, 2004 |
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Volatility processes and volatility forecast with long memory Gilles O. Zumbach June 17, 2003 |
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Market heterogeneities and the causal structure of volatility Paul E. Lynch and Gilles O. Zumbach April 23, 2003 |
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Efficient Estimation of Volatility using High Frequency Data Gilles O. Zumbach, Fulvio Corsi and Adrian Trapletti February 21, 2002 |
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Genetic Programming with Syntactic Restrictions applied to Financial Volatility Forecasting Gilles O. Zumbach, Olivier V. Pictet and Oliver Masutti GOZ.2000-07-28, April 23, 2001 |
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Heterogeneous volatility cascade in financial markets Gilles O. Zumbach and Paul Lynch To be published in "Physica A" GOZ.2000-11-06, February 22, 2001 |
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Consistent High-Precision Volatility from High-Frequency Data Fulvio Corsi, Gilles Zumbach, Ulrich A. Müller and Michel M. Dacorogna FCO.2000-09-25, January 25, 2001 |
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Dynamic ? Time: Algorithm, Configuration, Tests Wolfgang Breymann WAB.2000-07-31, January 6, 2009 |
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High Frequency Finance Data Do Improve Volatility and Risk Estimation Fulvio Corsi, Michel M. Dacorogna, Ulrich A. Müller and Gilles Zumbach FCO.2000-03-18, January 7, 2009 |
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Volatility Computed by Time Series Operators at High Frequency Ulrich A. Müller February 1, 2000 |
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Introducing a Scale of Market Shocks Gilles Zumbach, Michel M. Dacorogna, Jorgen L. Olsen and Richard B. Olsen GOZ.1998-10-01, March 23, 1999 |
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Effective Return, Risk Aversion and Drawdowns Michel M .Dacorogna, Ramazan Gençay, Ulrich A. Müller, Olivier V. Pictet RAG.1999-01-20, January 1999 |
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Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates Ramazan Gençay, Giuseppe Ballocchi, Michel M. Dacorogna, Richard B. Olsen and Olivier V. Pictet RAG.1998-12-01, December 1998 |
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Extremal Forex Returns in Extremely Large Data Sets Michel M. Dacorogna, Ulrich A. Müller, Olivier V. Pictet and Casper G. de Vries October 12, 1998 |
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The Intraday Multivariate Structure of the Eurofutures Markets Giuseppe Ballocchi, Michel M. Dacorogna, Carl M. Hopman, Ulrich A. Müller and Richard B. Olsen GBA.1997-11-25 (presented at the HFDF-II conference in Zurich, April 1-3, 1998) |
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A Closer Look at the Eurofutures Market: Intraday Statistical Analysis Barbara Piccinato, Giuseppe Ballocchi and Michel M. Dacorogna BPB.1997-08-45, June 8, 1998 |
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On the accuracy of VaR estimates based on the Variance-Covariance approach Rakhal D. Davé and Gerhard Stahl RDD.1997-05-09, March 1997 |
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On the intra-daily performance of GARCH processes Dominique M. Guillaume, Olivier V. Pictet and Michel M. Dacorogna internal document DMG.1994-07-31, August 1995 |
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Unveiling Non Linearities Through Time Scale Transformations Dominique M. Guillaume, Olivier V. Pictet, Ulrich A. Müller and Michel M. Dacorogna internal document OVP.1994-06-26, September 20, 1995 |
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The Error of Statistical Volatility of Intra-daily Quoted Price Changes Observed over a Time Interval Ulrich A. Müller, Michel M. Dacorogna and Olivier V. Pictet internal document UAM.1995-07-31, July 31, 1995 |
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Genetic Algorithms with collective sharing for Robust Optimization in Financial Applications Olivier V. Pictet, Michel M. Dacorogna, Rakhal D. Davé, Bastien Chopard, Roberto Schirru and Marco Tomassini internal document OVP.1995-02-06, January 22, 1996 |
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Hedging Currency Risks - Dynamic Hedging Strategies Based on O&A Trading Models Ulrich A. Müller internal document UAM.1994-01-31, June 28, 1995 |
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Fractals and Intrinsic Time - a Challenge to Econometricians Ulrich A. Müller, Michel M. Dacorogna, Rakhal D. Davé, Olivier V. Pictet, Richard B. Olsen and J. R. Ward internal document UAL.1993-08--16, Presented in an opening lecture at the XXXIXth International Conference of the Applied Econometrics Association (AEA), Real Time Econometrics - Submonthly Time Series, 14-15th Oct. 1993, in Luxembourg, and at the 4th International PASE Workshop, 22-26th Nov. 1993, in Ascona (Switzerland), June 28, 1995 |
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Statictics of Variables Observed Over Overlapping Intervals Ulrich A. Müller internal document UAM.1993-06-18, November 30, 1993 |
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The Main Ingredients of Simple Trading Models for Use in Genetic Algorithm Optimization Michel M. Dacorogna internal document MMD.1993.03.22, May 24, 1993 |
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Going Back to the Basics - Rethinking Market Efficiency Richard B. Olsen, Michel M. Dacorogna, Ulrich A. Müller and Olivier V. Pictet internal document RBO.1992-09-07, December 2, 1992 |
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Specially Weighted Moving Averages with Repeated Application of the EMA Operator Ulrich A. Müller UAM.1991-10-14, December 7, 2000 |
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A Measure of Trading Model Performance with a Risk Component Michel M. Dacorogna, Ulrich A. Müller and Olivier V. Pictet internal document MMD.1991-05-24, October 1, 1991 |
Olsen - Research
Olsen plays a pioneering role in the development of the young field of high frequency finance. Our objective is to leverage high frequency finance for the benefit of society, to support innovative projects and to support research and development.