Financial Market Risk

8 Multiresolution analysis of local risk

 

 

 

 

“Natura Saltus Facit”

(=“Nature Jumps” )¹

8.1 Introduction

For the first time in history, huge quantities of high-frequency financial data are currently being recorded and stored. Both financial price and volume data have been recorded (Gopikrishnan et al., 1998):

• on a daily basis since the nineteenth century;

• with a sampling rate of one minute or less since 1984; and

• on a transaction-by-transaction (tick-by-tick) basis since 1993.

The first to collect and archive high-frequency, intraday foreign exchange (FX) data from Reuters composite FXFX page were the researchers of the institute of Olsen and Associates in Zürich, Switzerland (Müller et al., 1990; Dacorogna et al., 2001). This was ...