Petroni, Filippo; Serva, Maurizio - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 194-197
In this work we discuss the problem of price definition when using high frequency foreign exchange data. If one uses the spot mid price a strong autocorrelation of returns, at one lag, is found which is only due to microstructure effect and does not capture the real behavior of price dynamics....
