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


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

1997-04

AUTHORS

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. More... »

PAGES

95-129

References to SciGraph publications

Journal

TITLE

Finance and Stochastics

ISSUE

2

VOLUME

1

Author Affiliations

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s007800050018

DOI

http://dx.doi.org/10.1007/s007800050018

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1014553285


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