Stylized facts of trading activity in the high frequency FX market : An Empirical Study

@inproceedings{Aloud2013StylizedFO,
  title={Stylized facts of trading activity in the high frequency FX market : An Empirical Study},
  author={Monira Aloud and Maria Fasli and Edward P. K. Tsang and Alexandre Dupuis and Richard Olsen},
  year={2013}
}
In this paper, we focus on studying the statistical properties (stylized facts) of the trading activity in the Foreign Exchange (FX) market which is the most liquid financial market in the world. We use a unique high-frequency dataset of anonymised individual traders’ historical transactions on an account level provided by OANDA. To the best of our knowledge, this dataset can be considered to be the biggest available high-frequency dataset of the FX market individual traders’ historical… CONTINUE READING

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