Vladimir Petrov

University of Zurich

Rämistrasse 71

Zürich, CH-8006

Switzerland

  • University of Zurich

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

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1.

Agent-Based Model in Directional-Change Intrinsic Time

Number of pages: 30 Posted: 10 Sep 2018 Last Revised: 15 May 2020
Vladimir Petrov, Anton Golub and Richard B. Olsen
University of Zurich, Flov technologies and Lykke CorpOlsen & Associates
Downloads 547 (85,366)

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Agent-Based Model, Stylized Facts, Forex, Directional-Change, Intrinsic Time, Scaling Laws

2.

Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time

Number of pages: 32 Posted: 23 Sep 2018 Last Revised: 20 Mar 2019
Vladimir Petrov, Anton Golub and Richard B. Olsen
University of Zurich, Flov technologies and Lykke CorpOlsen & Associates
Downloads 339 (149,107)
Citation 3

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instantaneous volatility; market microstructure; seasonality; high frequency markets; risk management; computational finance

3.

Intrinsic Time Directional-Change Methodology in Higher Dimensions

Number of pages: 39 Posted: 23 Aug 2019
Vladimir Petrov, Anton Golub and Richard B. Olsen
University of Zurich, Flov technologies and Lykke CorpOlsen & Associates
Downloads 276 (185,026)

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high frequency markets, multidimensional, intrinsic time, scaling laws, risk management, directional-change