An introduction to high-frequency finance R Gençay, M Dacorogna, UA Muller, O Pictet, R Olsen Elsevier, 2001 | 1534 | 2001 |
Volatilities of different time resolutions—analyzing the dynamics of market components UA Müller, MM Dacorogna, RD Davé, RB Olsen, OV Pictet, ... Journal of Empirical Finance 4 (2-3), 213-239, 1997 | 956 | 1997 |
A geographical model for the daily and weekly seasonal volatility in the foreign exchange market MM Dacorogna, UA Müller, RJ Nagler, RB Olsen, OV Pictet Journal of International Money and Finance 12 (4), 413-438, 1993 | 772 | 1993 |
From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets DM Guillaume, MM Dacorogna, RR Davé, UA Müller, RB Olsen, OV Pictet Finance and stochastics 1, 95-129, 1997 | 722 | 1997 |
Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis UA Müller, MM Dacorogna, RB Olsen, OV Pictet, M Schwarz, ... Journal of Banking & Finance 14 (6), 1189-1208, 1990 | 646 | 1990 |
Fractals and intrinsic time-a challenge to econometricians UA Müller, MM Dacorogna, RD Davé, OV Pictet, RB Olsen, JR Ward SSRN, 2008 | 454 | 2008 |
Currency trading system, methods, and software RB Olsen, M Stumm US Patent 7,146,336, 2006 | 153 | 2006 |
Patterns in high-frequency FX data: discovery of 12 empirical scaling laws JB Glattfelder, A Dupuis, RB Olsen Quantitative Finance 11 (4), 599-614, 2011 | 142 | 2011 |
Method for market making UA Müller, RB Olsen US Patent 7,467,110, 2008 | 127 | 2008 |
Modelling short-term volatility with GARCH and HARCH models MM Dacorogna, UA Müller, OV Pictet, RB Olsen Available at SSRN 36960, 1997 | 126 | 1997 |
Methods for trade decision making RB Olsen, MM Dacorogna, OV Pictet, UA Müller, RD Davé, LA Jaeger US Patent 7,496,534, 2009 | 115 | 2009 |
Defining efficiency in heterogeneous markets M Dacorogna, U Mller, R Olsen, O Pictet Taylor & Francis Group 1 (2), 198-201, 2001 | 95 | 2001 |
Real-time trading models and the statistical properties of foreign exchange rates R Gençay, G Ballocchi, M Dacorogna, R Olsen, O Pictet International Economic Review, 463-491, 2002 | 67 | 2002 |
Changing time scale for short‐term forecasting in financial markets MM Dacorogna, CL Gauvreau, UA Müller, RB Olsen, OV Pictet Journal of forecasting 15 (3), 203-227, 1996 | 64 | 1996 |
A directional-change event approach for studying financial time series M Aloud, E Tsang, R Olsen, A Dupuis Economics 6 (1), 20120036, 2012 | 51 | 2012 |
Foreign exchange trading models and market behavior R Gençay, M Dacorogna, R Olsen, O Pictet Journal of Economic Dynamics and Control 27 (6), 909-935, 2003 | 51 | 2003 |
System and method for portfolio allocation R Olsen, T Domenig, R Dave US Patent App. 09/978,791, 2002 | 50 | 2002 |
Measuring shock in financial markets GO Zumbach, MM Dacorogna, JL Olsen, RB Olsen International Journal of Theoretical and Applied Finance 3 (03), 347-355, 2000 | 50 | 2000 |
Real-time trading models for foreign exchange rates OV Pictet, MM Dacorogna, UA Müller, RB Olsen, JR Ward Neural Network World 2 (6), 713-744, 1992 | 50 | 1992 |
The scale of market quakes T Bisig, A Dupuis, V Impagliazzo, RB Olsen Quantitative Finance 12 (4), 501-508, 2012 | 49 | 2012 |