Richard B. Olsen

Lykke Corp

Baarerstrasse 2

Zug, Zug 6300

Switzerland

http://www.lykke.com

Olsen & Associates

Wehrenbachhalde 46

Zurich, 8053

Switzerland

  • Lykke Corp

  • Olsen & Associates

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    • Tel: +41 79 336 89 50
    • Fax: +41 (1) 422 22 82
SCHOLARLY PAPERS

19

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20,758

SSRN CITATIONS
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Top 28,708

in Total Papers Citations

12

CROSSREF CITATIONS

29

Scholarly Papers (19)

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1.

The Alpha Engine: Designing an Automated Trading Algorithm

High Performance Computing in Finance, Chapman & Hall/CRC Series in Mathematical Finance, 2017
Number of pages: 29 Posted: 12 Apr 2017 Last Revised: 03 May 2017
Anton Golub, James Glattfelder and Richard B. Olsen
Flov technologies, Department of Banking and Finance, UZH and Lykke CorpOlsen & Associates
Downloads 13,169 (675)
Citation 9

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asset management, trading, algorithm

2.

Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates

Olsen and Associates Working Paper No. 319
Number of pages: 62 Posted: 30 Mar 1999
Ramazan Gencay, Michel M. Dacorogna, Giuseppe Ballocchi, Richard B. Olsen and Olivier V. Pictet
Simon Fraser University, PRS Solutions, Pictet & Cie, Banquiers, Lykke CorpOlsen & Associates and Pictet Asset Management
Downloads 1,998 (15,845)
Citation 9

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3.

Modelling Short-Term Volatility with GARCH and Harch Models

Downloads 1,918 (16,911)

Modelling Short-Term Volatility with GARCH and Harch Models

Number of pages: 17 Posted: 25 Jun 1997
Michel M. Dacorogna, Ulrich A. Müller, Olivier V. Pictet and Richard B. Olsen
PRS Solutions, Olsen & Associates, Pictet Asset Management and Lykke CorpOlsen & Associates
Downloads 1,918 (16,621)
Citation 23

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Modelling Short-Term Volatility with GARCH and Harch Models

"Nonlinear Modelling of High Frequency Financial Time Series" edited by Christian Dunis and Bin Zhou, published by Wiley & Sons, Ltd.
Posted: 21 Oct 1997
Michel M. Dacorogna, Ulrich A. Müller, Olivier V. Pictet and Richard B. Olsen
PRS Solutions, Olsen & Associates, Pictet Asset Management and Lykke CorpOlsen & Associates

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4.

A Directional-Change Events Approach for Studying Financial Time Series

Economics Discussion Paper No. 2011-28
Number of pages: 18 Posted: 16 Dec 2011
Monira Aloud, Edward Tsang, Richard B. Olsen and Alexandre Dupuis
affiliation not provided to SSRN, University of Essex - Centre for Computational Finance and Economic Agents, Lykke CorpOlsen & Associates and affiliation not provided to SSRN
Downloads 684 (74,514)
Citation 7

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Directional-change event, intrinsic time, high-frequency finance, foreign exchange market, time-series analysis

5.

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 604 (86,888)

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

6.

Introducing a Scale of Market Shocks

Olsen & Associates Working Paper No. 322
Number of pages: 25 Posted: 03 May 1999
Gilles O. Zumbach, Michel M. Dacorogna, Jorgen L. Olsen and Richard B. Olsen
Edgelab, PRS Solutions, Olsen & Associates and Lykke CorpOlsen & Associates
Downloads 553 (97,225)
Citation 2

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7.

The Intraday Multivariate Structure of the Eurofutures Markets

GBA.1997-11-25
Number of pages: 29 Posted: 03 Aug 1998
Giuseppe Ballocchi, Carl M. Hopman, Michel M. Dacorogna, Ulrich A. Müller and Richard B. Olsen
Pictet & Cie, Banquiers, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA), PRS Solutions, Olsen & Associates and Lykke CorpOlsen & Associates
Downloads 447 (125,672)
Citation 1

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8.

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 364 (158,886)
Citation 3

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

9.

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 355 (163,786)

Abstract:

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

10.

Financial Markets: From Fractals to Power Laws

Number of pages: 13 Posted: 06 Feb 2023
Richard B. Olsen
Lykke CorpOlsen & Associates
Downloads 332 (176,064)

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general economics, financial economics, financial time series, high frequency econometrics, market microstructure, trading algorithm, data series

11.

Essay: from calendar to intrinsic time

Number of pages: 13 Posted: 05 Jan 2023
Richard B. Olsen
Lykke CorpOlsen & Associates
Downloads 128 (422,758)

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financial time series, financial crisis, market microstructure, trading algorithm, data series

12.

Essay: The existing economic models are flawed

Number of pages: 7 Posted: 05 Jan 2023
Richard B. Olsen
Lykke CorpOlsen & Associates
Downloads 89 (546,558)

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general economics, history of economic thought, financial economics, financial time series, high frequency econometrics, market microstructure, trading algorithm, data series

13.

Essay: A new economics for a new age - reconciling old-world systems with modern technology

Number of pages: 6 Posted: 05 Jan 2023
Richard B. Olsen
Lykke CorpOlsen & Associates
Downloads 78 (591,295)

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general economics, history of economic thought, financial economics, financial time series, high frequency econometrics, market microstructure, trading algorithm, data series

14.

Interaction Between Law and Society - An Interpretation of Law in Action and the Function of Property Rights

Number of pages: 109 Posted: 25 Jan 2023 Last Revised: 14 Feb 2024
Richard B. Olsen
Lykke CorpOlsen & Associates
Downloads 39 (812,325)

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economic systems, economic methodology, history of economic thought, law and economics, labor law, property law, industrial organization, financial time series, labor

15.

Volatilities of Different Time Resolutions: Analyzing the Dynamics of Market Components

Posted: 20 Dec 1999
Ulrich A. Müller, Michel M. Dacorogna, Rakhal Dave, Richard B. Olsen, Olivier V. Pictet and Jakob von Weizsäcker
Olsen & Associates, PRS Solutions, Olsen Financial Technologies, Lykke CorpOlsen & Associates, Pictet Asset Management and World Bank

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16.

Heterogeneous Real-Time Trading Strategies in the Foreign Exchange Markets

Posted: 02 Sep 1999
Michel M. Dacorogna, Ulrich A. Müller, Christian Jost, Olivier V. Pictet, Richard B. Olsen and J. Robert Ward
PRS Solutions, Olsen & Associates, Olsen Group (Olsen & Associates Ltd.), Pictet Asset Management, Lykke CorpOlsen & Associates and Olsen Group (Olsen & Associates Ltd.)

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17.

Fractals and Intrinsic Time - a Challenge to Econometricians

Posted: 02 Sep 1999
Ulrich A. Müller, Michel M. Dacorogna, Rakhal Dave, Olivier V. Pictet, Richard B. Olsen and J. Robert Ward
Olsen & Associates, PRS Solutions, Olsen Financial Technologies, Pictet Asset Management, Lykke CorpOlsen & Associates and Olsen Group (Olsen & Associates Ltd.)

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18.

From the Bird's Eye to the Microscope: A Survey of New Stylized Facts of the Intra-Daily Foreign Exchange Markets

Posted: 20 Dec 1998
Dominique M. Guillaume, Michel M. Dacorogna, Rakhal Dave, Ulrich A. Müller, Richard B. Olsen and Olivier V. Pictet
Catholic University of Leuven, PRS Solutions, Olsen Financial Technologies, Olsen & Associates, Lykke CorpOlsen & Associates and Pictet Asset Management

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19.

Going Back to the Basics - Rethinking Market Efficiency

Posted: 20 Dec 1998
Richard B. Olsen, Michel M. Dacorogna, Ulrich A. Müller and Olivier V. Pictet
Lykke CorpOlsen & Associates, PRS Solutions, Olsen & Associates and Pictet Asset Management

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