Data Client Papers

Here are some papers which acknowledge the use of our data. (More papers over the last 10 years will be added soon).


June 2012 

High Frequency Finance - Using Scaling Laws to Build Trading Models

Alexandre Dupuis 
Richard Olsen 

Olsen, Switzerland
University of Essex, UK

 

April 2011 

Trading Dynamics in the Foreign Exchange Market - A Latent Factor Panel Intensity Approach

Ingmar Nolte 
Valeri Voev 

Warwick Business School, UK
Aarhus University, Denmark

 

October 2010 

Essays on Measuring, Modeling and Forecasting Time-varying Risk in Financial Markets

Xuan Xie 

University of New South Wales,Sydney, Australia

 

June 2010 

Analysis of Singapore's Foreign Exchange Market Microstructure

Chee Wai Wan 

Singapore Management University

 

May 2010 

Volatility Transmission in Emerging European Foreign Exchange Markets

Vít Bubák 
Evžen Kočenda 
Filip Žikeš 

Sorbonne University, Paris, France
Charles University, Prague, Czech Republic
Imperial College, London, UK

 

February 2010 

How Do Individual Investors Trade?

Ingmar Nolte 
Sandra Nolte 

Warwick Business School, UK

 

April 2009 

Trading Dynamics in the Foreign Exchange Market

Ingmar Nolte 
Valeri Voev 

Warwick Business School, UK
Aarhus University, Denmark

 

March 2008 

Forecasting Realized Volatility - A Bayesian Model Averaging Approach

Chun Liu 
John M Maheu 

Tsinghua University, China
University of Toronto

 

October 2007 

Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets

Kevin E Bassler 
Joseph L McCauley 
Gemunu H Gunaratne 

Dept. of Physics, University of Houston, USA
Texas Center for Superconductivity
J E Cairnes Graduate School of Business and Public Policy, National University of Ireland
Institute of Fundamental Studies, Kandy, Sri Lanka

 

October 2007 

Exchange Rate Variability, Market Activity and Heterogeneity

Dagfinn Rime 
Genaro Sucarrat 

Norges Bank, Norway
Universidad Carlos III de Madrid, Spain

 

July 2007 

Order Flows, News, and Exchange Rate Volatility

Michael Frömmel 
Alexander Mende 
Lukas Menkhoff 

Ghent University, Belgium
Leibniz Universität Hannover, Germany
Risk and Portfolio Management, Sweden

 

March 2007 

Customer Trading in the Foreign Exchange Market Empirical Evidence from an Internet Trading Platform

Sandra Lechner 
Ingmar Nolte 

University of Konstanz

 

February 2007 

Stock Market Return, Order Flow and Financial Market Likages

Jan-Magnus Moberg 
Genaro Sucarrat 

Norwegian School of Economics and Business Administration
Universidad Carlos III de Madrid, Spain

 

October 2006 

Financial Market Linkages and Orderflow

Jan-Magnus Moberg 
Genaro Sucarrat 

Norwegian School of Economics and Business Administration
Universidad Carlos III de Madrid, Spain

 

October 2006 

Testing the Monotonicity Property of Option Prices

Christophe Pérignon 

Simon Fraser University

 

September 2006 

Does the oil market learn about analyst accuracy?

Charles Chang 
Hazem Daouk 
Albert Wang 

Cornell University

 

September 2006 

Testing for Structural Changes in Exchange Rates Dependence beyond Linear Correlation

Alexandra Dias 
Paul Embrechts 

University of Warwick
ETH, Zürich

 

September 2006 

Essays in the Study and Modelling of Exchange Rate Volatility

Genaro Sucarrat 

Université Catholique de Louvain
Universidad Carlos III de Madrid, Spain

 

August 2006 

Central Bank Intervention and Exchange Rate Volatility, Its Continuous and Jump Components

Michel Beine 
Jér-hannover.deôme Lahaye 
Sébastien Laurent 
Christopher J Neely 
Franz C Palm 

University of Luxembourg
University of Namur
Federal Reserve Bank of St. Louis
Maastricht University

 

August 2006 

On the Multi-Fractal Structure of Traded Volume in Financial Markets

Luis G Moyano 
Jeferson de Souza 
Sílvio M Duarte Queirós 

Centro Brasileiro de Pesquisas Físicas

 

June 2006 

A Nonextensive approach to the Dynamics of Financial Observables

Sílvio M Duarte Queirós 
Luis G Moyano 
Jeferson de Souza 
Constantino Tsallis 

Centro Brasileiro de Pesquisas Físicas
Santa Fe Institute

 

June 2006 

Intraday Linkages across International Equity Markets

Kari Harju 
Syed Mujahid Hussain 

Hanken-Swedish School of Economics and Business Administration

 

June 2006 

Profits and Speculation in Intra-Day Foreign Exchange Trading

Alexander Mende 
Lukas Menkhoff 

Leibniz Universität Hannover, Germany

 

May 2006 

Identifying the Effects of U.S. Intervention on the Levels of Exchange Rates

Christopher J Neely 

Federal Reserve Bank of St. Louis

 

May 2006 

On Statistical Properties of Traded Volume in Financial Markets

Jeferson de Souza 
Luis G Moyano 
Sílvio M Duarte Queirós 

Centro Brasileiro de Pesquisas Físicas

 

April 2006 

Estimating and Forecasting Volatility with Large Scale Models: Theoretical Appraisal of Professionals' Practice

Paolo Zaffaroni 

Imperial College London

 

March 2006 

The Technical Signal Based Trading Effects on Volatility: Evidence from the Euro/Dollar Currency Market

Walid Ben Omrane 

Université Catholique de Louvain

 

February 2006 

Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations approach Using Realized Volatility

Eric Hillebrand 
Gunther Schnabl 
Yasemin Ulu 

Louisiana State University
Universität Tübingen
American University of Beirut

 

February 2006 

General to Specific Modelling of Exchange Rate Volatility: A Forecast Evaluation

Luc Bauwens 
Genaro Sucarrat 

Université Catholique de Louvain
Universidad Carlos III de Madrid, Spain

 

January 2006 

Exchange Rate Volatility and Heterogeneity

Dagfinn Rime 
Genaro Sucarrat 

Norges Bank, Norway
Université Catholique de Louvain

 

December 2005 

Using Self-Organizing Maps to Adjust Intra-Day Seasonality

Walid Ben Omrane 
Eric de Bodt 

Université Catholique de Louvain

 

December 2005 

Do Central Banks Interventions Bring Noise on the Market?

Jean-Yves Gnabo 
Christelle Lecourt 
Sébastien Laurent 

University of Namur
Université Catholique de Louvain

 

November 2005 

Were Verbal Efforts to Support the Euro Effective? A High-Frequency Analysis of ECB Statements

David-Jan Jansen 
Jakob de Hann 

De Nederlandsche Bank
University of Groningen

 

September 2005 

Variation, Jumps and High Hrequency Data in Financial Econometrics

Ole E Barndorff-Nielsen 
Neil Shephard 

University of Aarhus
University of Oxford

 

July 2005 

The Performance Analysis of Chart Patterns: Monte Carlo Simulation and Evidence from the Euro/Dollar Foreign Exchange Market

Walid Ben Omrane 
Hervé Van Oppens 

Université Catholique de Louvain

 

July 2005 

Modeling and Forecasting Realized Variance Measures

Eric Zivot 

University of Washington

 

July 2005 

The Effectiveness of Official Foreign Exchange Intervention in a Small Open Economy: The Case of the Canadian Dollar

Rasmus Fatum 
Michael R King 

University of Alberta
Bank of Canada

 

June 2005 

Estimation of the Stylized Facts of a Stochastic Cascade Model

Celine Azizieh 
Wolfgang Breymann 

Université Libre de Bruxelles
ETH, Zürich

 

May 2005 

Change in Unconditional Exchange Rate Volatility: GBP and USD Price of the Euro 2002-2003

Richard Heaney 
Kerry Pattenden 

RMIT University
University of Sydney

 

April 2005 

Exchange Rate Volatility and the Mixture of Distribution Hypothesis

Luc Bauwens 
Dagfinn Rime 
Genaro Sucarrat 

Université Catholique de Louvain
Norges Bank, Norway

 

April 2005 

Time and Foreign Exchange Markets

Luca Berardi 
Maurizio Serva 

Università degli Studi, L'Aquila

 

March 2005 

Daily Effects of Foreign Exchange Intervention: Evidence from Official Bank of Canada Data

Rasmus Fatum 

University of Alberta

 

February 2005 

09/11 on the USD/EUR Foreign Exchange Market

Alexander Mende 

Leibniz Universität Hannover, Germany

 

February 2005 

The Role of U.S. Trading in Pricing Internationally Cross-Listed Stocks

Joachim Grammig 
Michael Melvin 
Christian Schlag 

University of Tübingen
Arizona State University
Göethe Universität Frankfurt

 

December 2004 

Analysis of High Frequency Financial Data

Robert F Engle 
Jeffrey R Russell 

New York University
University of California - San Diego
University of Chicago

 

October 2004 

Rules Versus Discretion in Foreign Exchange Intervention: Evidence from Official Bank of Canada High-Frequency Data

Rasmus Fatum 
Michael R King 

University of Alberta
Bank of Canada

 

September 2004 

The Self-Organizing Maps for Seasonality Adjustment (SOM): Application to The Euro/Dollar Foreign Exchange Volatility and Quoting Activity

Walid Ben Omrane 
Eric de Bodt 

Université Catholique de Louvain

 

September 2004 

Testing Normality: a GMM approach

Christian Bontemps 
Nour Meddahi 

University of Toulouse
University of Montreal

 

September 2004 

How well can Autoregressive Duration Models Capture the Price Durations Dynamics of Foreign Exchanges

Yanhui Liu 
Yongmiao Hong 
Shouyang Wang 

Chinese Academy of Sciences
Cornell University
Tsinghua University

 

June 2004 

Dynamic Copula Models for Multivariate High-Frequency Data in Finance

Alexandra Dias 
Paul Embrechts 

University of Warwick
ETH, Zürich

 

June 2004 

The Foreign Exchange Quoting Activity as an Informative Signal

Walid Ben Omrane 
Andréas Heinen 

Université Catholique de Louvain

 

June 2004 

Volatility-Return Dynamics across different Timescales

Ramazan Gençay 
Faruk Celçuk 

Simon Fraser University
Bilkent University

 

May 2004 

The Predictive Success and Profitability of Chart Patterns in the Euro/Dollar Foreign Exchange Market

Walid Ben Omrane 
Hervé Van Oppens 

Université Catholique de Louvain

 

May 2004 

Intraday Empirical Analysis and Modeling of Diversified World Stock Indices

Wolfgang Breymann 
Leah Kelly 
Eckhard Platen 

ETH, Zürich
University of Technology - Sydney

 

November 2003 

Power and Bipower Variation with Stochastic Volatility and Jumps

Ole E Barndorff-Nielsen 
Neil Shephard 

Center for Mathematical Physics and Stochastics [MaPhySto]
University of Aarhus
Nuffield College, University of Oxford

 

November 2003 

Econometrics of Testing for Jumps in Financial Economics using Bipower Variation

Ole E Barndorff-Nielsen 
Neil Shephard 

University of Aarhus
University of Oxford

 

November 2003 

Effectiveness of Official Daily Foreign Exchange Market Intervention Operations in Japan

Rasmus Fatum 
Michael M Hutchison 

University of Alberta
University of California - Santa Cruz

 

November 2003 

Analysis of High-Frequency Financial Data with S-Plus

Bingcheng Yan 
Eric Zivot 

University of Washington

 

September 2003 

The Response of Individual FX Dealers' Quoting Activity to Macroeconomic News Announcements

Walid Ben Omrane 
Andréas Heinen 

Université Catholique de Louvain

 

August 2003 

Some aspects of Lévy processes in finance

Johan Tykesson 

Chalmers University of Technology
Góteborg University

 

August 2003 

Bolsa or NYSE: Price Discovery for Mexican Shares

George M. von Furstenberg 
Carlos B. Tabora 

Indiana University
Fordham University

 

July 2003 

When do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?

Kathryn M Dominguez 

National Bureau of Economic Research
University of Michigan

 

June 2003 

A Programmable Architecture for Real-time Derivative Trading

Sachin Tandon 

University of Edinburgh

 

June 2003 

Pouvair Predictif et Profitabilite des Fugures Chartistes: Application au Marche des Changes Euro/Dollar

Walid Ben Omrane 
Hervé Van Oppens 

Université Catholique de Louvain

 

June 2003 

The Information Content of Implied Prices: Test of the Option Boundary approach

Peter Lung 
R Stephen Sears 

University of Dayton
Texas Tech University

 

May 2003 

Uncovered Interest Parity: It works, but not for long

Alain P Chaboud 
Jonathan H Wright 

Board of Governors of the Federal Reserve System

 

January 2003 

Central Bank Interventions and Jumps in Double Long Memory Models of Daily Exchange Rates

Michel Beine 
Sébastien Laurent 

Université Libre de Bruxelles
Catholic University of Louvain
Université de Liège
Maastricht University

 

January 2003 

Dependence Structures for Multivariate High Frequency Data in Finance

Wolfgang Breymann 
Alexandra Dias 
Paul Embrechts 

ETH, Zürich

 

December 2002 

Microstructures in the Indian Foreign Exchange Market

N R Bhanumurthy 

Institute of Economic Growth
University of Delhi Enclave

 

October 2002 

Dynamical Model of Financial Markets: Fluctuating Temperature causes Intermittent Behavior of Price Changes

Naoki Kozuki 
Nobuko Fuchikami 

Hitachi High-Technologies Corporation
Tokyo Metropolitan University

 

October 2002 

Y2K Fears and Safe Haven Trading of the US Dollar

Aditya Kaul 
Stephan Sapp 

University of Alberta
Richard Ivey School of Business
University of Western Ontario

 

October 2002 

Microeconomic Models for Long-Memory in the Volatility of Financial Time Series

Alan Kirman 
Gilles Teyssiere 

Groupement de Recherche en Economie Quantitative d'Aix-Marseille [GREQAM]
Catholic University of Louvain
Center for Operations Research
and Econometrics [CORE]

 

October 2002 

Measuring and Forecasting Financial Variability using Realised Variance with and without a Model

Ole E Barndorff-Nielsen 
Brent Nielsen 
Neil Shephard 
Carla Ysusi 

Center for Mathematical Physics and Stochastics [MaPhySto]
University of Aarhus
Nuffield College, University of Oxford
Dept. of Statistics, University of Oxford

 

September 2002 

A Transaction Level Study of the Effects of Central Bank Intervention on Exchange Rates

Richard Payne 
Paolo Vitale 

Financial Markets Group
London School of Economics

 

June 2002 

Financial Volatility, Lévy Processes and Power Variation

Ole E Barndorff-Nielsen 
Neil Shephard 

Center for Mathematical Physics and Stochastics [MaPhySto]
University of Aarhus
Nuffield College, University of Oxford

 

June 2001 

Econometric Analysis of Realised Volatility and its use in Estimating Stochastic Volatility Models

Ole E Barndorff-Nielsen 
Neil Shephard 

Center for Mathematical Physics and Stochastics [MaPhySto]
University of Aarhus
Nuffield College, University of Oxford

 

February 2001 

What can we learn about Monetary Policy Transparency from Financial Market Data?

Andrew Clare 
Roger Courtenay 

Bank of England

 

November 2000 

Scaling in Financial Prices: Multifractals and the Star Equation

Benoit B Mandelbrot 

Yale University

 

November 1999 

How To Quantify Deterministic and Random Influences on the Statistics of the Foreign Exchange Market

R Friedrich 
J Peinke 
Ch Renner 

Institute für Theoretische Physik
Universität Oldenberg

 

September 1999 

The Market Microstructure of Central Bank Intervention

Kathryn M Dominguez 

National Bureau of Economic Research
University of Michigan

 

July 1999 

Volatility Persistence and Apparent Scaling Laws in Finance

Blake LeBaron 

Brandeis University

 

March 1999 

Price Discovery on Freign Exchange Markets with Differentially Informed Traders

Frank de Jong 
Ronald Mahieu 
Peter Schotman 
Irma van Leeuwen 

University of Amsterdam
Erasmus University of Rotterdam
Limburg Institute, University of Maastricht
Centre for Economic Policy Research

 

September 1997 

Multifractality of Deutschemark/ US Dollar Exchange Rates

Adlai Fisher 
Laurent Calvet 
Benoit Mandelbrot 

Yale university

 

August 1997 

Modeling Volatility Using State Space Models

Jens Timmer 
Andreas Weigand 

Universität Freiburg
Stern School of Business, New York University

 

www. 

200803-Schmidt-CurrTxTaxRateRevEst.pdf:Currency Transaction Tax - Rate and Revenue Estimates

Rodney Schmidt