Using a comprehensive high-frequency foreign exchange dataset, we present evidence of time-of-day effects in foreign … pattern across a range of currencies and time zones. We also find that this pattern is reflected in order flow and suggest …

maturities and investment horizons and they are economically significant. Volatility trading strategies which condition on the …

the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 …

"This paper finds strong evidence of time-variations in the joint distribution of returns on a stock market portfolio …