From the Bird's Eye to the Microscope: A Survey of New Stylized Facts of the Intra-Daily Foreign Exchange Markets

Posted: 20 Dec 1998

See all articles by Dominique M. Guillaume

Dominique M. Guillaume

Catholic University of Leuven

Michel M. Dacorogna

DEAR-Consulting

Rakhal Dave

Olsen Financial Technologies

Ulrich A. Müller

Olsen & Associates

Richard B. Olsen

Lykke Corp

Olivier V. Pictet

Pictet Asset Management

Date Written: October 1994

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 quantities of interest. Empirical regularities of the foreign exchange intra-daily data are then grouped under three major topics: the process of price formation, the heterogeneous structure of the market and the distribution of price changes. The stylized facts surveyed in this paper shed new lights on the market structure that appears composed of heterogeneous agents. It also poses several challenges such as the definition of price or of the time-scale, the concept of market efficiency and the process of learning, the macro-and micro-modeling or the time-series approach of the markets, the analysis of extreme events and the characterization of the price distribution.

JEL Classification: F31, G14, G15

Suggested Citation

Guillaume, Dominique M. and Dacorogna, Michel M. and Dave, Rakhal D. and Müller, Ulrich A. and Olsen, Richard B. and Pictet, Olivier V., From the Bird's Eye to the Microscope: A Survey of New Stylized Facts of the Intra-Daily Foreign Exchange Markets (October 1994 ). Available at SSRN: https://ssrn.com/abstract=5770

Dominique M. Guillaume (Contact Author)

Catholic University of Leuven ( email )

Oude Markt 13
Center for Economic Studies
B-3000 Leuven
Belgium
32 16 32 68 40 (Phone)
32 16 32 67 (Fax)

Michel M. Dacorogna

DEAR-Consulting ( email )

Scheuchzerstrasse 160
Zurich, 8057
Switzerland
+41795447327 (Phone)

Rakhal D. Dave

Olsen Financial Technologies ( email )

Ottenbergstrasse 81
Zurich, 8049
Switzerland
+41 44 342 3566 (Phone)
+41 44 342 3561 (Fax)

HOME PAGE: http://www.olsendata.com

Ulrich A. Müller

Olsen & Associates ( email )

Seefeldstrasse 233
CH-8008 Zurich
Switzerland
+41 (1) 386 48 16 (Phone)
+41 (1) 422 22 82 (Fax)

Richard B. Olsen

Lykke Corp ( email )

Baarerstrasse 2
Zug, Zug 6300
Switzerland
41793368950 (Phone)

HOME PAGE: http://www.lykke.com

Olivier V. Pictet

Pictet Asset Management ( email )

Geneva
Switzerland

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