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...

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...

A fractal approach is used to analyze financial time series, applying different degrees of time resolution, and the results are interrelated. Some fractal properties of foreign exchange (FX) data are found. In particular, the mean size of absolute values of price changes follows a...

In this paper we present both a new formulation of the HARCH process and a study of the forecasting accuracy of ARCH-type models for predicting short-term volatility. Using high frequency data, the market volatility is expressed in terms of partial volatilities which are formally exponential...

The heterogeneous market states that the diversity of actors causes different behaviors of volatilities of different time resolutions. A lagged correlation study reveals that statistical volatility defined over a coarse time grid significantly predicts volatility defined over a fine grid. This...

The foreign exchange (FX) market is worldwide, but the dealers differ in their geographical locations (time zones), working hours, time horizons, home currencies, access to information, transaction costs, and other institutional constraints The variety of time horizons is large: from intra-day...

We derive two risk adjusted performance measures for investors with risk averse preferences. Maximizing these measures is equivalent to maximizing the expected utility of an investor. The first measure, X(eff), is derivedassuming a constant risk aversion while the second measure, R(eff),is based...

In this paper we present both a new formulation of the HARCH process and a study of the forecasting accuracy of ARCH-type models for predicting short-term volatility. Using high frequency data, the market volatility is expressed in terms of partial volatilities which are formally exponential...

This study is based on an exceptionally large and automatically filtered data set containing most of the quoted prices on Reuters over 7 years. We employ semi-parametric extremal analysis. A bias reduction is attained by bootstrapping on resamples. The empirical results demonstrate the existence...

The purpose of this paper is to suggest a new measure of trading model performance which accounts for the following requirements: 1. a high total return; 2. a smooth behavior around a straight line; 3. a small clustering of losses; 4. no bias towards low-frequency trading models. It is important...