Richard B. Olsen

Lykke Corp

Baarerstrasse 2

Zug, Zug 6300

Switzerland

http://www.lykke.com

SCHOLARLY PAPERS

14

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14,117

SSRN CITATIONS
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SSRN RANKINGS

Top 20,770

in Total Papers Citations

8

CROSSREF CITATIONS

37

Scholarly Papers (14)

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 Corp
Downloads 8,850 (644)
Citation 6

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asset management, trading, algorithm

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
Simon Fraser University, DEAR-Consulting, Pictet & Cie, Banquiers, Lykke Corp and Pictet Asset Management
Downloads 1,862 (9,261)
Citation 10

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

International Economic Review, Vol. 43, No. 2, pp. 463-492, 2002
Number of pages: 30 Posted: 07 Feb 2003
Simon Fraser University, Pictet & Cie, Banquiers, DEAR-Consulting, Lykke Corp and Pictet Asset Management
Downloads 39 (484,271)
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Modelling Short-Term Volatility with GARCH and Harch Models

Number of pages: 17 Posted: 25 Jun 1997
DEAR-Consulting, Olsen & Associates, Pictet Asset Management and Lykke Corp
Downloads 1,542 (12,491)
Citation 18

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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
DEAR-Consulting, Olsen & Associates, Pictet Asset Management and Lykke Corp

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4.

Introducing a Scale of Market Shocks

Olsen & Associates Working Paper No. 322
Number of pages: 25 Posted: 03 May 1999
Edgelab, DEAR-Consulting, Olsen & Associates and Lykke Corp
Downloads 483 (65,250)
Citation 3

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5.

The Intraday Multivariate Structure of the Eurofutures Markets

GBA.1997-11-25
Number of pages: 29 Posted: 03 Aug 1998
Pictet & Cie, Banquiers, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA), DEAR-Consulting, Olsen & Associates and Lykke Corp
Downloads 402 (81,357)

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6.

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 Corp and affiliation not provided to SSRN
Downloads 328 (102,632)
Citation 6

Abstract:

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

7.

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 Corp
Downloads 290 (117,347)
Citation 1

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

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 Corp
Downloads 244 (141,402)
Citation 2

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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 Corp
Downloads 77 (351,204)

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

10.

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

Posted: 20 Dec 1999
Olsen & Associates, DEAR-Consulting, Olsen Financial Technologies, Lykke Corp, Pictet Asset Management and World Bank

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11.

Heterogeneous Real-Time Trading Strategies in the Foreign Exchange Markets

Posted: 02 Sep 1999
DEAR-Consulting, Olsen & Associates, Olsen Group (Olsen & Associates Ltd.), Pictet Asset Management, Lykke Corp and Olsen Group (Olsen & Associates Ltd.)

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12.

Fractals and Intrinsic Time - a Challenge to Econometricians

Posted: 02 Sep 1999
Olsen & Associates, DEAR-Consulting, Olsen Financial Technologies, Pictet Asset Management, Lykke Corp and Olsen Group (Olsen & Associates Ltd.)

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13.

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
Catholic University of Leuven, DEAR-Consulting, Olsen Financial Technologies, Olsen & Associates, Lykke Corp and Pictet Asset Management

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14.

Going Back to the Basics - Rethinking Market Efficiency

Posted: 20 Dec 1998
Lykke Corp, DEAR-Consulting, Olsen & Associates and Pictet Asset Management

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