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Comprehensive Analysis of Market Conditions in the Foreign Exchange Market: Fluctuation Scaling and Variance-Covariance Matrix
Foreign Exchange Market Fluctuation Scaling Scaling Breaking Global Average of Cross-Correlations
2012/4/28
We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2010. A scaling relationship between the mean values of num...
The foreign exchange market: return distributions, multifractality, anomalous multifractality and Epps effect
foreign exchange market multifractality Epps effect
2010/12/13
We present a systematic study of various statistical characteristics of high-frequency returns from the foreign exchange market. This study is based on six exchange rates forming two triangles: EUR-G...
Intra-Day Seasonality in Foreign Exchange Market Transactions
limit orders market orders seasonality
2011/3/31
This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing 2000-...