Journal of Finance and Investment Analysis

Stylized Facts of the FX Market Transactions Data: An Empirical Study

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  • Abstract

     

    In this paper, we focus on studying the statistical properties (stylized facts) of the transactions data in the Foreign Exchange (FX) market which is the most liquid financial market in the world. We use a unique high-frequency dataset of anonymised individual traders’ historical transactions on an account level provided by OANDA. To the best of our knowledge, this dataset can be considered to be the biggest available high-frequency dataset of the FX market individual traders’ historical transactions. The established stylized facts can be grouped under three main headings: scaling laws, seasonality statistics and correlation behaviour. Our work confirms established stylized facts in the literature but also goes beyond those as we have discovered four new scaling laws and established six quantitative relationships amongst them, holding across EUR/USD and EUR/CHF transactions.