Trading Patterns and Prices in the Interbank Foreign Exchange Market
利用连续记录的德国马克-美元汇率数据，分析报价到达和买卖价差的行为，发现日内交易模式，并检验交易强度对波动率的独立影响。
ABSTRACT The behavior of quote arrivals and bid‐ask spreads is examined for continuously recorded deutsche mark‐dollar exchange rate data over time, across locations, and by market participants. A pattern in the intraday spread and intensity of market activity over time is uncovered and related to theories of trading patterns. Models for the conditional mean and variance of returns and bid‐ask spreads indicate volatility clustering at high frequencies. The proposition that trading intensity has an independent effect on returns volatility is rejected, but holds for spread volatility. Conditional returns volatility is increasing in the size of the spread.