haku: @author Lee, C.I. / yhteensä: 3
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| Tekijä: | Lee, C.I. Mathur, I. Gleason, K.C. |
| Otsikko: | The tick/volatility ratio as a determinant of the compass rose pattern |
| Lehti: | European Journal of Finance
2005 : APR, VOL 11:2, p. 93-109 |
| Asiasana: | Foreign exchange Exchange rates Markets Monte Carlo technique |
| Kieli: | eng |
| Tiivistelmä: | This study provides evidence that low frequency data masks certain returns (hereafter as: rets.) phenomena in the foreign exchange (or forex) market. It is shown that the compass rose pattern is entirely absent in daily rets. in the spot and futures forex markets. In contrast, the intraday rets. clearly exhibit the pattern. Monte Carlo investigation of the tick/volatility ratio (here as: t/v-r.) provides convincing evidence that the pattern appears only if the t/v-r. is above some threshold level. Since intraday rets. have a ratio above the threshold value, they exhibit the pattern. |
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