Paul Krugman argued in a recent article in the New York Times Magazine that the economics profession failed, because economists mistook beauty, clad in impressive looking mathematics, for truth. Economists developed fancy equations, because they were in love with the vision that capitalism was a perfect or nearly perfect system. Krugman did not claim to know, where economists should go from here, but it seemed certain to him that economists have to live with the messiness of economics and incorporate the realities of finance into macroeconomics. (more…)
Archive for September, 2009
High frequency finance in trading breaks deadlock of economics.
September 24th, 2009 |
High frequency finance, News | Tags: Economics, financial markets, fractal theory, High frequency finance
| 1 Comment »
The scale of market quakes
We define a methodology to quantify market activity on a 24 hour basis by defining a scale, the so-called scale of market quakes (SMQ). The SMQ is designed within a framework where we analyse the dynamics of excess price moves from one directional change of price to the next. We use the SMQ to quantify the FX market and evaluate the performance of the proposed methodology at major news announcements. The evolution of SMQ magnitudes from 2003 to 2009 is analysed across major currency pairs…
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Author: Richard B. Olsen, Founder and CEO of Olsen Ltd
September 9th, 2009 | General, News | | No Comments »
Why financial market regulations need to focus on two-way pricing
In recent months, stock exchanges have come into the public spotlight for their business practices. The introduction of flash orders that give preferential treatment to a certain group of customers has undermined public confidence in stock exchanges as institutions that vouch for fair market prices. The introduction of flash orders happened in the wake of a development that has received little publicity. There is a growing scientific literature in finance that explains how market prices depend on the details of the order flow and how traders can influence market prices. An increasing number of market participants take advantage of these discoveries for their own and their investors’ advantage…
Clicking here will retrieve an Acrobat version.
Author: Richard B. Olsen, Founder and CEO of Olsen Ltd
September 3rd, 2009 | Economics, News | | No Comments »
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Recent comments
maoz: Thank you for sharing with us this focused booklet. One question, how do you define the 2% fundemantal...
Mark Brant: Sir, I believe that your companies should set up liasons in NYC and D.C. to interact with the Fed in...
Asaf: Richard, Very informative and very well written booklet. I think that the most important thing that traders...
Deevz: Come to think of it after reading your book, the phenomenon described above can probably be explained by the...
Mark Brnat: Richard, Thx for the E=MCsq. of fractal trading. It is fascinating to imagine the sophistication of your...
Deevz: This is awesome Mr. Olsen! Looks like a light read, I’ll have a go at it after having supper. I...
Mark Brant: Sir, I believe that your companies should set up liasons in NYC and D.C. to interact with the Fed in...
Asaf: Richard, Very informative and very well written booklet. I think that the most important thing that traders...
Deevz: Come to think of it after reading your book, the phenomenon described above can probably be explained by the...
Mark Brnat: Richard, Thx for the E=MCsq. of fractal trading. It is fascinating to imagine the sophistication of your...
Deevz: This is awesome Mr. Olsen! Looks like a light read, I’ll have a go at it after having supper. I...