Michel M. Dacorogna

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This paper presents stylized facts concerning the spot intra-daily foreign exchange markets. It first describes intra-daily data and proposes a set of definitions for the variables of interest. Empirical regularities of the foreign exchange intra-daily data are then grouped under three major topics: the distribution of price changes, the process of price(More)
Real-time trading models use high frequency live data feeds and their recommendations are transmitted to the traders through data feed lines instantaneously. The contributions of this paper are twofold. First, the performance of a widely used commercial real-time trading model is compared with the performance of systematic currency traders. Second, the(More)
The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That is why we use them to probe the different degree of markets development. We empirically study the scaling properties of daily Foreign Exchange rates, Stock Market indices and fixed income instruments by using the generalized Hurst(More)
A fractal approach is used to analyze financial time series, applying different degrees of time resolution, and the results are interrelated. Some fractal properties of foreign exchange (FX) data are found. In particular, the mean size of the absolute values of price changes follows a “fractal” scaling law (a power law) as a function of the analysis time(More)
Estimates of daily volatility are investigated. Realized volatility can be computed from returns observed over time intervals of different sizes. For simple statistical reasons, volatility estimators based on high-frequency returns have been proposed, but such estimators are found to be strongly biased as compared to volatilities of daily returns. This bias(More)
In this study, optimal indicators and strategies for foreign exchange trading models are investigated in the framework of genetic algorithms. We rst explain how the relevant quantities of our application can be encoded in "genes" so as to t the requirements of the genetic evolutionary optimization technique. In nancial problems, sharp peaks of high tness(More)
198 In the last few years, research in finance has increasingly focused on the behaviour of high-frequency data. Some results of this research provide clear evidence that movements in foreign exchange (FX) rates and in the prices of other financial assets, for short to medium-term horizons, are, to some extent, predictable. This is substantiated by a(More)
In this study, optimal indicators and strategies for foreign exchange trading models are investigated using the framework of genetic algorithms. We rst explain how the relevant quantities of our application can be encoded in "genes" so as to t the requirements of the genetic evolutionary optimization technique. In nancial problems sharp peaks of high tness(More)
In this paper, we show that intra-daily foreign exchange rate returns exhibit even stronger nonlinearities than daily or weekly returns. These nonlinearities result from the intra-daily seasonality and the presence of market participants with di erent time-horizons. Moreover, we present some evidence that both these nonlinearities and the autocorrelation(More)