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

Richard B. Olsen, Ulrich A. Müller, Michel Dacorogna, Olivier V. Pictet, Rakhal R. Davé and Dominique M. Guillaume ()
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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
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

Finance and Stochastics, 1997, vol. 1, issue 2, pages 95-129

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.

Keywords: Foreign exchange rates; intra-daily; heterogeneous; distribution (search for similar items in EconPapers)
JEL-codes: F31 G15 E44 (search for similar items in EconPapers)
Date: 1997
Note: received: May 1996; final version received: September 1996
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