GUILLAUME, D.M., et al., 1997. From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets. Finance and Stochastics. [Cited by 172] (18.46/year)
Abstract: "This paper presents stylized facts concerning the spot intra-daily foreign exchange markets. It first describes intra-daily data and proposes a set of definitions for the variables of interest. Empirical regularities of the foreign exchange intra-daily data are then grouped under three major topics: the distribution of price changes, the process of price formation and the heterogeneous structure of the market. The stylized facts surveyed in this paper shed new light on the market structure that appears composed of heterogeneous agents. It also poses several challenges such as the definition of price and of the time-scale, the concepts of risk and efficiency, the modeling of the markets and the learning process."
BOUCHAUD, Jean-Philippe, et al., 2004. Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes, Quantitative Finance, Volume 4, Number 2/April 2004, pages 176-190. [Cited by 36] (15.53/year)
Abstract: "Using trades and quotes data from the Paris stock market, we show that the random walk nature of traded prices results from a very delicate interplay between two opposite tendencies: long-range correlated market orders that lead to super-diffusion (or persistence), and mean reverting limit orders that lead to sub-diffusion (or anti-persistence). We define and study a model where the price, at any instant, is the result of the impact of all past trades, mediated by a non-constant ‘propagator’ in time that describes the response of the market to a single trade. Within this model, the market is shown to be, in a precise sense, at a critical point, where the price is purely diffusive and the average response function almost constant. We find empirically, and discuss theoretically, a fluctuation–response relation. We also discuss the fraction of truly informed market orders, that correctly anticipate short-term moves, and find that it is quite small."
LILLO, Fabrizio and J. Doyne FARMER, 2004. The long memory of the efficient market, Studies in Nonlinear Dynamics and Econometrics, Volume 8, Issue 3, Article 1. [Cited by 25] (7.54/year)
Abstract: "For the London Stock Exchange we demonstrate that the signs of orders obey a long-memory process. The autocorrelation function decays roughly as a power law with an exponent of 0.6, corresponding to a Hurst exponent H = 0.7. This implies that the signs of future orders are quite predictable from the signs of past orders; all else being equal, this would suggest a very strong market inefficiency. We demonstrate, however, that fluctuations in order signs are compensated for by anti-correlated fluctuations in transaction size and liquidity, which are also long-memory processes that act to make the returns whiter. We show that some institutions display long-range memory and others don’t."
MÜLLER, U.A. and R.G. SGIER, 1992. Statistical analysis of intra-day bid-ask spreads in the foreign exchange market. Unpublished manuscript, Olsen & Associates, Zurich. [Cited by 2] (0.14/year)