  We define a methodology to quantify market activity on a 24 hour basis by
defining a scale, the so-called scale of market quakes (SMQ). The SMQ is
designed within a framework where we analyse the dynamics of excess price moves
from one directional change of price to the next. We use the SMQ to quantify
the FX market and evaluate the performance of the proposed methodology at major
news announcements. The evolution of SMQ magnitudes from 2003 to 2009 is
analysed across major currency pairs.
