References

Ballocchi G, Dacorogna MM, Hopman CM, Müller UA, Olsen RB. The intraday multivariate structure of the eurofutures markets. J Empir Finance 1999;6:479.

Barabási A-L, Albert R. Emergence of scaling in random networks. Science 1999;286:509.

Barndorff-Nielsen OE, Prause K. Apparent scaling. Finance Stoch 2001;5:103.

Bauwens L, Hautsch N. Modelling financial high frequency data using point processes. In: Anderson TG, et al., editors. Handbook of financial time series. Springer 2009.

Bisig T, Dupuis A, Impagliazzo V, Olsen RB. The scale of market quakes. Quant. Finance 2012; 12:501. Reprinted by permission of the publisher (Taylor & Francis), www.tandfonline.

Bouchaud J-P. Power laws in economics and finance: some ideas from physics. Quant Finance 2001;1:105.

Bouchaud J-P. Economics needs a scientific revolution. Nature 2009;457:147.

Bureau of Labor Statistics 2007–2009. Available at www.bls.gov.

Chaboud A, Chernenko S, Howorka E, Iyer R, Liu D, Wright J. The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market. Board of Governors of the Federal Reserve System; Volume 823; 2004.

Corsi F, Zumbach G, Müller UA, Dacorogna MM. Consistent high-precision volatility from high-frequency data. Econ Notes Rev Bank Finance Monet Econ 2001;30:183.

Dacorogna MM, Gençay R, Müller UA, Olsen RB, Pictet OV. An introduction to high-frequency finance. San Diego (CA): Academic Press; 2001.

Di Matteo T. Multi-scaling ...

Get Handbook of Exchange Rates now with the O’Reilly learning platform.

O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.