THE availability of high-frequency data for financial markets has made it possible to study market dynamics on timescales of less than a day 1 • For foreign exchange (FX) rates Miiller et al. 2 have shown that there is a net flow of information from long to short timescales: the behaviour of long-term traders (who watch the markets only from time to time) influences the behaviour of short-term traders (who watch the markets continuously). Motivated by this hierarchical feature, we have studied FX market
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