About ten years ago I developed the 'Scale of Market Quakes' for FX data and wrote a paper [1] about it (it's terribly written!), which was then released as a web service (www.olsenscale.com, not available anymore) and journalists etc could sign up for.
The idea was to measure the turbulences released in the market by e.g. quantitative easing by the FED. Was a great project and I learnt a lot.
About ten years ago I developed the 'Scale of Market Quakes' for FX data and wrote a paper [1] about it (it's terribly written!), which was then released as a web service (www.olsenscale.com, not available anymore) and journalists etc could sign up for.
The idea was to measure the turbulences released in the market by e.g. quantitative easing by the FED. Was a great project and I learnt a lot.
[1] https://arxiv.org/pdf/0909.1690v1.pdf