Finance and Stochastics

, Volume 1, Issue 2, pp 95–129

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

  • Dominique M. Guillaume
  • Michel M. Dacorogna
  • Rakhal R. Davé
  • Ulrich A. Müller
  • Richard B. Olsen
  • Olivier V. Pictet

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.

Key words:Foreign exchange rates, intra-daily, heterogeneous, distribution ¶JEL classification:F31, G15, E44 ¶Mathematics Subject Classification (1991):90-02, 62-07, 62P20 

Copyright information

© Springer-Verlag Berlin Heidelberg 1997

Authors and Affiliations

  • Dominique M. Guillaume
    • 1
  • Michel M. Dacorogna
    • 2
  • Rakhal R. Davé
    • 2
  • Ulrich A. Müller
    • 2
  • Richard B. Olsen
    • 2
  • Olivier V. Pictet
    • 2
  1. 1.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 (e-mail: dominique.guillaume@economics.ox.ac.uk)GB
  2. 2.Olsen & Associates, Research Institute for Applied Economics, CH-8008 Zürich, SwitzerlandCH

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