High-Frequency Data and Volatility in Foreign-Exchange Rates

Data Characteristics for High-Frequency Trading Systems

“…There is existing evidence that confirms the stylized fact of negative first-order autocorrelation in high-frequency FX markets, see Cont (2001), Dacorogna et al (2001) and Zhou (1996). Negative autocorrelation is also reported in other high-frequency markets, for example, Italian Stock Index Futures for periods smaller than 20 min by Bianco and Reno (2006).…”

Price discovery on Bitcoin exchanges

“…The common random walk component makes the price vectors of the individual exchanges cointegrated by construction. Combining that component with a idiosyncratic component makes it suited to the negative first order serial correlation in the price changes, see Zhou (1996).…”

Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997

“…This paper corroborates the nonlinearity, non-Gaussianity, and the thin trading of FX rate generating processes in Asian emerging markets and demonstrates that empirical FX rates scale over frequency and time. Anderson and Bollerslev (1997), as well as Müller et al (1990), Müller, Dacorogna, and Pictet (1998), demonstrate in multiple ways the presence of long-term dependence, horizon-dependent volatility, and heavy-tailed distributions in high-frequency financial data (Dacorogna, Pictet, Müller, & de Vries, 2001;Zhou, 1996). Müller et al (1990) actually prove that scaling of the variance of the increments by a Fickian Hurst exponent of H=0.5 leads to mispricing.…”