Jorda And Marcellino-Modeling High-Frequency Fx Data Dynamics

 book 4The spot foreign exchange (FX) market is an around-the-clock, around-the-globe, decentralized, multiple-dealer market characterized by an enormous trading volume (an average of $1.5 trillion of FX traded according to Lyons, 2001). Interdealer trading accounts for roughly two-thirds of this volume and unlike other, more traditional financial markets (such as the NYSE’s hybrid auction/single-dealer or the NASDAQ’s centralized multiple-dealer markets), FX trade data is not generally observable because there areno disclosure regulatory requirements.




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