Lyons, R. K. (1995). Test of microstructural hypotheses in the foreign exchange market, Journal of Financial Economics, 39, 321-351.

Lyons, R. K. (1996a). Foreign exchange volume: Sound and fury signifying nothing? In The Microstructure of Foreign Exchange Markets, J. Frankel et al., Eds., University of Chicago Press, pp. 183-201.

Lyons, R. K. (1996b). Optimal transparency in a dealership market with an application to foreign exchange, Journal of Financial Intermediation, 5, 225-254.

Lyons, R. K. (1998). Profits and position control: A week of FX dealing, Journal of International Money and Finance, 17, 97-115.

MacDonald, R., and Taylor, M. P. (1992). Exchange rate economics, IMF Staff Papers, 39, 1-57.

Makridakis, S., Wheelwright, S. C, andMcGee, V. E. (1983). Forecasting Methods

and Applications, 2nd ed., John Wiley & Sons, New York. Mandelbrot, . B. (1963). The variation of certain speculative prices, Journal of

Business, 36, 394-419. Mandelbrot, . B. (1971). When can price be arbitraged efficiently? A limit to

the validity of the random walk and martingale model, Review of Economics

and Statistics, 53, 225-236. Mandelbrot, . B. (1972). Statistical methodology for nonperiodic cycles: From

the covariance to R/S analysis, Annals of Economic and Social Measurement,

1,259-290.

Mandelbrot, . B. (1983). The Fractal Geometry of Nature, W. H. Freeman and Company, New York.

Mandelbrot, . B. (1997). Fractals and Scaling in Finance, Springer Verlag.

Mandelbrot, . ., and Taylor, H. M. (1967). On the distribution of stock prices differences, Operations Research, 15, 1057-1062.

Mandelbrot, . ., and Van Ness, J. W. (1968). Fractional brownian motions, fractional noises and applications, SIAM Review, 10, 422-437.

Mandelbrot, . ., Fisher, A. J., and Calvet, L. E. (1997). A multifractal model of asset returns, Cowles Foundation Discussion Paper No: 1164.

Mansfield, P., Rachev, S. ., and Samorodnitsky, G. (1999). Long strange segments of a stochastic process and long range dependence, Cornell University, School of Operations Research and Industrial Engineering, Technical Report No: 1252.

Mantegna, R. N., and Stanley, H. E. (1995). Scaling behavior in the dynamics of an economic index, Nature, 376, 46-49.

Mantegna, R. N., and Stanley, H. E. (2000). An Introduction to Econophysics - Correlations and Complexity in Finance, Cambridge University Press, Cambridge.

Markowitz, H. M. (1959). Portfolio Selection: Efficient Diversification of Investments, Wiley, Yale University Press (1970), New York.

Markowitz, H. M. (1987). Mean-Variance Analysis in Portfolio Choice and Capital Markets, Basil Blackwell, Oxford, Cambridge, MA.

Mason, D. M. (1982). Laws of large numbers for sums of extreme values, Annals of Probability, 10, 754-764.

McCulloch, J. H. (1997). Measuring tail thickness in order to estimate the stable index a: A critique, Journal of Business and Economic Statistics, 15(1), 74-81.

McFarland, J. W., Petit, R. R., and Sung, S. K. (1982). The distribution of foreign exchange price changes: Trading day effects and risk measurement, Journal of Finance, 37, 693-715.

McNeil, A. J. and Frey, R. (2000). Estimation of tail-related risk measures for heteroscedastic financial time series: An extreme value approach, Journal of Empirical Finance, 7, 271-300.

Meese, R. A., and Rogoff, J. (1983). Empirical exchange rate models of the seventies, do they fit out of sample? Journal of International Economics, 14, 3-24.

Melvin, M. ., and Yin, X. (2000). Public information arrival, exchange rate volatility and quote frequency, Economic Journal, 110,465190.

Meyn, S. P. and Tweedie, R. L. (1993). Markov Chains and Stochastic Stability, Springer Verlag, Heidelberg.

Michalewicz, Z. (1994). Genetic Algorithms + Data Structures - Evolution Programs, Springer-Verlag, 2nd ed., Berlin.

Mikosch, T. and Starica, C. (1999). Change of structure in financial time series, long range dependence and the GARCH model, University of Groningen, manuscript.

Montana, D. J. (1995). Strongly typed genetic programming, Evolutionary Computation, 3, 199-230.

Moody, J. and Wu, L. (1995). Statistical analysis and forecasting of high frequency foreign exchange rates, In Proceedings of the HFDF-I Conference, Zurich, Switzerland, March 29-31, 1995, 3, 29-31.

Morgan Guaranty (1996). RiskMetrics™ - Technical Document, 4th ed., Morgan Guaranty Trust Company of New York, New York.

Mosteller, F., and Tukey, J. W. (1977). Data Analysis and Regression, Addison-Wesley, Reading MA.

Muller, U. A. (1991). Specially weighted moving averages with repeated application of the EMA operator, Internal document UAM.1991-10-14, Olsen & Associates, Seefeldstrasse 233, 8008 Zurich, Switzerland.

Muller, U. A. (1993). Statistics of variables observed over overlapping intervals, Internal document UAM.1993-06-18, Olsen & Associates, Seefeldstrasse 233, 8008 Zurich, Switzerland.

Muller, U. A. (1996). Generating a time series of fixed-period spot interest rates from interest rate futures, Internal document UAM. 1996-04-19, Olsen & Associates, Seefeldstrasse 233, 8008 Zurich, Switzerland.

BIM.KXiRAIIIY

Muller, U. A. (1999). The O&A lillcr for data in finance, Internal document UAM. 1999-04-27, Olsen & Associates, Seefeldstrasse 233, 8008 Zurich, Switzerland.

Muller, U. A. (2000). Volatility Computed by Time Series Operators at High Frequency, In Statistics ami Finance: An Interface, W. S. Chan, W. K. Li and Howell Tong, Eds., Imperial College Press, London.

Muller, U. A., and Sgier, R. (1, (1942). Statistical analysis of intraday bid-ask spreads in the foreign exchange market. Internal document UAM. 1992-04-10, Olsen & Associates, Secfeldstru.sse 233, 8008 Zurich, Switzerland.

Muller, U. A., Dacorogna, M. M., Olsen, R. ., Pictet, . V, Schwarz, M., and Morgenegg, C. (1990). Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis, Journal of Banking and Finance, 14, 1189-1208.

Muller, U. A., Dacorogna, M. M.. Dave. R. D., Pictet, . V, Olsen, R. ., and Ward, J. R. (1993a). Fractals and intrinsic time - A challenge to econometricians, in "Erfolgreiche Zinsprognosc , F.d. by B. Liithje, Verband offentlicher Banken, Bonn 1994.

Muller, U. A., Dacorogna, M. M„ and Pictet, . V. (1993b). A trading model performance measure with strong risk aversion against drawdowns, Internal document UAM. 1993-06-03, Olsen & Associates, Seefeldstrasse 233, 8008 Zurich, Switzerland.

Muller, U. A., Dacorogna, M. M., and Pictet, . V. (1995). The error of statistical volatility of intradaily quoted price changes observed over a time interval, Internal document UAM. 1995-07-31, Olsen & Associates, Seefeldstrasse 233, 8008 Zurich, Switzerland.

Muller, U. A., Dacorogna, M. M„ Dave, R. D., Olsen, R. ., Pictet, . V, and von Weizsacker, J. E. (1997a). Volatilities of different time resolutions - analyzing the dynamics of market components, Journal of Empirical Finance, 4,213-239.

Muller, U. A., Dacorogna, M. M., and Lundin, M. C. (1997b). Currency overlay using trading models under exposure constraints, Internal document UAM. 1997-07-06, Olsen & Associates, Seefeldstrasse 233, 8008 Zurich, Switzerland.

Muller, U. A., Dacorogna, M. M., and Pictet, . V. (1998). Heavy tails in high-frequency financial data, In A Practical Guide to Heavy Tails: Statistical Techniques for Analysing Heavy Tailed Distributions, R. J. Adler, R. E. Feldman and M. S. Taqqu, Eds., pp. 55-77, Birkhauser, Boston, MA.

Murphy, J. J. (1986). Technical Analysis of the Futures Markets, New York Institute of Finance, Prentice-Hall, New York.

Mussa, M. (1979). Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market, Carnegie-Rochester Series on Public Policy, 11,9-58.

Neely, C, Weller, P., and Dittmar, R. (1997). Is technical analysis in the foreign exchange market profitable? A genetic programming approach, Journal of

Financial and Quantative Analysis, 32, 405-426.