Abstract
Intra-day financial transactions and quotes data have become available since 1990’s. These have sparked research on the micro-structure of markets. The two main financial markets that provide high-frequency data are the FOREX and the US equity markets. The latter is contained in the TAQ (Trade And Quote) database which contains all trades (including quantity traded) and quotes for all listed stocks since the early 1990s. Contrary to this centralized market, the FOREX market is decentralized and there are only observations for quote of many currency pairs but no transaction data. An interesting issue of the FOREX market is that it is always open and geographically disperse since the trading day starts in Tokyo, which is followed by the opening of the London market, and finally by New York.
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