The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement
分析多种主要和次要外汇市场的价格变化，发现一日对数价格变化服从非正态稳定分布，且不同交易日存在位置和尺度差异。美元计价价格在周一和周三较高，周四和周五较低，与美元结算程序及周末前需求增加一致。
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.