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Empirical Properties of the Foreign Exchange Interdealer Market
Social Science Research Network
Using a new high frequency quality data set we provide a precise empirical study of the interdealer spot market. We check that the main stylized facts of financial time series are valid for the FX market: fat-tailed distribution of returns, aggregational normality and volatility clustering. We report two standard microstructure phenomena: microstructure noise effects in the signature plot and the Epps effect. We find an unusual shape for the average book, the spread distribution being bimodal.doi:10.2139/ssrn.2297292 fatcat:ccqxkz7c5ffvzhiy3x2voddxhq