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Stylized Facts of the FX Market Transactions Data: An Empirical Study

Author

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  • Monira Aloud
  • Maria Fasli
  • Edward Tsang
  • Alexandre Dupuis
  • Richard Olsen

Abstract

In this paper, we focus on studying the statistical properties (stylized facts) of the transactions data 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 transactions. The established stylized facts can be grouped under three main headings: scaling laws, seasonality statistics and correlation behaviour. Our work confirms established stylized facts in the literature but also goes beyond those as we have discovered four new scaling laws and established six quantitative relationships amongst them, holding across EUR/USD and EUR/CHF transactions.

Suggested Citation

  • Monira Aloud & Maria Fasli & Edward Tsang & Alexandre Dupuis & Richard Olsen, 2013. "Stylized Facts of the FX Market Transactions Data: An Empirical Study," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 2(4), pages 1-9.
    • Handle: RePEc:spt:fininv:v:2:y:2013:i:4:f:2_4_9
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    Cited by:

    1. Firouzi, Shahrokh & Wang, Xiangning, 2019. "A comparative study of exchange rates and order flow based on wavelet transform coherence and cross wavelet transform," Economic Modelling, Elsevier, vol. 82(C), pages 42-56.
    2. Amer M. Bakhach & Edward P.K. Tsang & V.L. Raju Chinthalapati, 2018. "TSFDC: A trading strategy based on forecasting directional change," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 25(3), pages 105-123, July.
    3. Hamza Bodor & Laurent Carlier, 2024. "Stylized Facts and Market Microstructure: An In-Depth Exploration of German Bond Futures Market," Papers 2401.10722, arXiv.org.
    4. Hu, Shicheng & Zhang, Weijie & Li, Danping & Wu, Bing, 2023. "Incorporating improved directional change and regime change detection to formulate trading strategies in foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 622(C).

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