Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis

1990/12/01 by Ulrich A. Müller, Ulrich Müller, Michel M. Dacorogna +4 · 4 citations
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Market Dynamics and Volatility #Monetary Policy and Economic Impact

paper · doi:10.1016/0378-4266(90)90009-q

crossref issued 1990/12/01 · crossref published 1990/12/01 · crossref published-print 1990/12/01 · openalex publication_date 1990/12/01 · crossref created 2002/07/26 · crossref deposited 2019/04/12 · openalex created_date 2025/10/10 · crossref indexed 2026/07/17 · openalex updated_date 2026/07/29

Citations

• The Variation of Certain Speculative Prices

Cited by

• Scale-dependent price fluctuations for the Indian stock market
• Patterns in high-frequency FX data: discovery of 12 empirical scaling laws
• Benoit Mandelbrot [wikipedia]
• Power law [wikipedia]