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From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*)

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Author Info
Richard B. Olsen (Olsen & Associates, Research Institute for Applied Economics, CH-8008 Zürich, Switzerland)
Ulrich A. Müller (Olsen & Associates, Research Institute for Applied Economics, CH-8008 Zürich, Switzerland)
Michel M. Dacorogna (Olsen & Associates, Research Institute for Applied Economics, CH-8008 Zürich, Switzerland)
Olivier V. Pictet (Olsen & Associates, Research Institute for Applied Economics, CH-8008 Zürich, Switzerland)
Rakhal R. Davé (Olsen & Associates, Research Institute for Applied Economics, CH-8008 Zürich, Switzerland)
Dominique M. Guillaume () (Financial Markets Group, London School of Economics and C.S.A.E. Institute of Economics and Statistics, University of Oxford, St. Cross Building, Manor Road, Oxford OX1 3UL, United Kingdom)

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Abstract

This paper presents stylized facts concerning the spot intra-daily foreign exchange markets. It first describes intra-daily data and proposes a set of definitions for the variables of interest. Empirical regularities of the foreign exchange intra-daily data are then grouped under three major topics: the distribution of price changes, the process of price formation and the heterogeneous structure of the market. The stylized facts surveyed in this paper shed new light on the market structure that appears composed of heterogeneous agents. It also poses several challenges such as the definition of price and of the time-scale, the concepts of risk and efficiency, the modeling of the markets and the learning process.

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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 1 (1997)
Issue (Month): 2 ()
Pages: 95-129
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Handle: RePEc:spr:finsto:v:1:y:1997:i:2:p:95-129

Note: received: May 1996; final version received: September 1996
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Related research
Keywords: Foreign exchange rates; intra-daily; heterogeneous; distribution;

Other versions of this item:

Find related papers by JEL classification:
F31 - International Economics - - International Finance - - - Foreign Exchange
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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