The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement
研究主要和次要外汇市场日价格变动的分布特征，发现对数价格变动服从非正态稳定分布，且不同交易日存在位置和尺度差异，美元计价变动在周一和周三较高，周四和周五较低，与结算程序及周末前需求增加一致。
ABSTRACT This study investigates the nature of price changes in a variety of major and minor foreign exchange markets. The results suggest that the log of price changes over one (trading) day intervals seems to follow a non‐normal stable distribution function. Different measures of location (and to lesser extent scale) are present for different days of the week. Dollar denominated price changes are high on Mondays and Wednesdays and low on Thursdays and Fridays for all currencies. The Wednesday‐Thursday result is consistent with the settlement procedures used in foreign exchange transactions in the dollar. The Friday‐Monday result is consistent with an increase in demand for the dollar prior to the weekend.