ACKNOWLEDGMENTS

e should start by acknowledging that 15 years ago, when our research team at Olsen & Associates (O&A) first began using the amazing magnifying glass provided by high-frequency data to see if we could uncover possible patterns in the financial markets, none of us anticipated just how expansive the effort would become.

With the publication of this book originating from our work, sincere thanks are due to so many that we can only hope we have recognized most of the colleagues and friends who have advanced our work. Their help, their encouragement, their criticism, and their friendship have contributed to the style of teamwork we always favored.

We begin with Matthias Schwarz, a biology student who computed the first scaling law working with us in the autumn of 1986. Our first academic visitor was Claude Morgenegg, coming from the University of Geneva, who taught our group of physicists the right language to use to reach the economists. Thanks also to Casper de Vries, who opened up for us the world of extreme value theory; Cindy L. Gauveau, who prepared forecasting models for foreign exchange rates and also brought the economic touch to our work; Rakhal Dave, for his explorations of the LeBaron effect; Marco Tomassini and Bastien Chopard, who brought to our attention the genetic algorithms; Mark Lundin and his correlation studies; Gennady Samorodnitsky and Paul Embrechts, who were able to prove the sufficiency of the stationarity condition of HARCH processes; Giuseppe Ballocchi, who led us into the research on interest rate futures; and Wolfgang

Breymann, who has extended the #-time concept and developed the idea of a heterogeneous market in his cascade model. A particular thanks goes to Gilles Zumbach, who has contributed many graphs to this book. He continues the work, bringing it to new levels and uncovering many more properties with the powerful operator framework and the software tools in ++ that he has developed over the years.

We also want to thank our colleagues who joined us at a later stage and have already reached out for other adventures: Lars Jaeger, Thomas Domenig, Peter Rice, and Hoss Hauksson. Our thanks extend also to J0rgen Olsen, whose wisdom and vast scientific culture has enlightened our seminars and whose road map for building a Richter scale for financial markets we implemented.

One very important and enriching experience has been the visits of many students who spent time with us and brought along their enthusiasm and eagerness to learn: Dominique Guillaume; Lukas Pulver; Petra Korndoerfer; Markus P. Herrchen; Jens Richelsen; Christian Jost; Jiirg S. Fussier; Retus G. Sgier; Alexander Dimai; Jonathan Dawes; Jakob E. von Weizsacker; Philipp Hartmann; Catalin Starica; Barbara Piccinato; Carl Hopman; Peter Rice, who later joined our research team; Simone Departs; Fulvio Corsi; and Paul Lynch. Without them, we would never have been able to explore so many different time series and to accomplish so many studies.

Many of our academic friends around the world visited us and understood early on the interest in research on this type of data. They provided us with encouragement to continue and the sense that we were working in the right direction. Hermann Garbers was the first to invite us to give a seminar at the University of Zurich, where we presented the scaling law in December 1988. From Benoit Mandelbrot in 1989 to Gennady Samorodnitsky just prior to the publication of this book, we have been fortunate to share time and work at O&A with some fine scientists: Tim Bollerslev, William Brock, Hans Biihlmann, Peter Buhlmann, Frank K. Diebold, Christian Dunis, Riidiger Frey, Helyette Geman, Charles Goodhart, Rudolf Kalman, Hans Rudolf Lerche, Bruce Mizrach, John Moody, Salih Neftci, Wolfgang Polasek, Remo Schnidrig, Albert N. Shiryaev, Gerhard Stahl, Massimo Tivegna, Murad Taqqu, Walter Wasserfallen, Andreas Weigend, and Diethelm Wiirtz. We would like to thank especially Charles Goodhart, whose support and insights led to the O&A "High-Frequency Data in Finance" conferences, but also Richard Baillie, Tim Bollerslev, Rob Engle, Joel Hasbrouck, Michael Melvin, and Maureen OHara. Gerhard Stahl has been a great partner in exploring new issues of risk management. His scientific rigor was always refreshing in this field where ad hoc arguments often dominate. Michel Dacorogna would like to thank particularly Blake LeBaron for the many e-mail exchanges we have had over the years on our research. They were always stimulating and encouraged us to think deeper into the problems and find the connections with the traditional economic approach. Manfred Harter and Mico Loretan have been always supportive of our work and have brought to us many ideas and opportunities for presenting it. Ramo Gencay would like to thank William Brock, Dee Dechert, Murray Frank,

Blake LeBaron, and Thanasis Stengos for many exciting research conversations, and Michael Charette, Ron Meng and Tibor Toronyi for research support. Ulrich Miiller would like to thank Giinter Schwarz for his contribution to our understanding of portfolio theory.

It is also clear that without the help and the dedication of our software team we would not have been able to access a database of such quantity and quality, covering more than 14 years of tick-by-tick prices. From Rob J. Naglcr to Kris Meissner through J. Robert Ward, William H. Kelly, Daniel P. Smith, Martin Lichtin, Devon Bowen, and Michael Stumm, we learned the subtleties of object-oriented programming and have enjoyed their constant support in our efforts to make sense of all that we were seeing. Paul Brcslaw has been so helpful with the data and improving our English. Our thanks go also to our friends from the operation group who kept alive our system, especially Jorge Mota, Jeff Courtade, and Gary Swofford. Whenever we had a problem with bulbs going out of function or air conditioning not working (especially when it was needed most), Filippo Guglielmo would always be here to solve it.

The trading model developments would not have been so interesting, nor so close to reality, without the contribution of our help desk: Pius DallAcqua, Stephan Schlatter, and last, but not least, Bernard Hechinger and his deep knowledge of the microstructure of financial markets. His interest in our models has brought us to rethink many aspects of their strategies and implement some of his ideas. In terms of market knowledge, we especially want to thank Dean LeBaron, whose vast experience and enthusiasm for new developments is a source of inspiration and encouragement. Our customers also brought many ideas to us, especially in the group who participated in the development of the interest rate project: Michael Brockmann, Dieter Heitkamp, Luciano Steve, and Giuseppe Ciliberto. We always enjoyed the exchanges with the practitioners who understood the need for a scientific approach to the markets. Another example of this fertile interaction was with Monique Donders, Tjark Tjin, and Marcel Ver-nooy during our project of building a currency overlay product based on trading models. Special thanks go also to Daniel Huber, who opened up so many doors for us.

There is no question that we benefited greatly from the structure and organization provided by our different administrative assistants over the years. Karin Jost, Rosemarie Arnold-Becker, and Melanie Kaslin all brought a strong sense of service and dedication that made our teamwork possible.

The process of writing a book with many authors is complex and demanding but also very rewarding because it gave us the occasion to discuss, deepen our understanding of the matters and interact with interesting people. In this process, Scott Bentley s (the senior editor of Academic Press) help and feedback have been important for keeping the level of motivation high and for the success of this project. The care of Amy Hendrickson for many TATr-iX formatting problems of a book of more than 400 pages and containing so many figures was essential for the resulting appearance of this book.