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The scale of market quakes

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

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.

Suggested Citation

  • T. Bisig & A. Dupuis & V. Impagliazzo & R. B. Olsen, 2009. "The scale of market quakes," Papers 0909.1690, arXiv.org.
    • Handle: RePEc:arx:papers:0909.1690
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    File URL: http://arxiv.org/pdf/0909.1690
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    References listed on IDEAS

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    1. Gilles O. Zumbach & Michel M. Dacorogna & Jørgen L. Olsen & Richard B. Olsen, 2000. "Measuring Shock In Financial Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 347-355.
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    Cited by:

    1. Aloud, Monira & Tsang, Edward & Olsen, Richard & Dupuis, Alexandre, 2011. "A directional-change events approach for studying financial time series," Economics Discussion Papers 2011-28, Kiel Institute for the World Economy (IfW Kiel).

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