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High Frequency Data and Volatility, in Foreign Exchange Rates
Excerpt from High Frequency Data and Volatility, in Foreign Exchange Rates
Since the consecutive prices are nonstationary, it is appropriate to study changes in prices. Like many other researchers, I prefer to study the compound return (which is defined as the difference in the logarithmic value of the bid prices). Table 2 shows the summary statistics of the tick-by-tick returns.
Since the consecutive prices are nonstationary, it is appropriate to study changes in prices. Like many other researchers, I prefer to study the compound return (which is defined as the difference in the logarithmic value of the bid prices). Table 2 shows the summary statistics of the tick-by-tick returns.
32 pages, Paperback
First published September 27, 2015
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