2 papers
q-fin.TR2014
R&D Strategy Document
James B. Glattfelder, Thomas Bisig, Richard B. Olsen
We outline what we believe are the prerequisites and building-blocks for successfully devising trading models and other financial applications based on a complex systems perspectiv…
q-fin.ST2008
Patterns in high-frequency FX data: Discovery of 12 empirical scaling laws
J. B. Glattfelder, A. Dupuis, R. B. Olsen
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.…