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Every minute counts in financial markets

1991; Elsevier BV; Volume: 10; Issue: 1 Linguagem: Inglês

10.1016/0261-5606(91)90025-f

1873-0639

Charles Goodhart, Lorenzo Figliuoli,

Financial Risk and Volatility Modeling

This paper represents an introductory study of ultra high frequency, minuute-by-minute data, for forex spot rates (bid-ask Reuters quotes) on three days, Autumn 1987. The frequency of price revision, size of spread, and statistical characteristics are measured. The series exhibit (time varying) leptokurtosis, unit roots, and first-order negative correlation, the latter especially in disturbed ‘jumpy’ markets. The effect of time aggregation on these characteristics is examined, and variance ratios are analyzed. Multivariate analysis revealed significant relationships between lagged exchange rates, both the own rate and the key deutsche mark/US dollar rate, and the current spot rate.