From The Bird's Eye to the Microscope: A Survey of New Stylized Facts of the Intra-Daily Foreign Exchange Markets

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 quantities of interest. Empirical regularities of the foreign exchange intra-daily data are then grouped under three major topics: the process of price formation, the heterogeneous structure of the market and the distribution of price changes. The stylized facts surveyed in this paper shed new lights on the market structure that appears composed of heterogeneous agents. It also poses several challenges such as the definition of price or of the time-scale, the concept of market efficiency and the process of learning, the macro-and micro-modeling or the time-series approach of the markets, the analysis of extreme events and the characterization of the price distribution.