Olsen, Richard B.; Müller, Ulrich A.; Dacorogna, Michel M. - In: Finance and Stochastics 1 (1997) 2, pp. 95-129
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...