FX High Frequency Data

jungle · Post by **jungle** » Mon Feb 28, 2005 12:58 pm

k,

currency strategy is one i would recommend. will mail you some other stuff.

creditderivatives · Post by **creditderivatives** » Mon Feb 28, 2005 2:21 pm

Jungle, could you please mail them to me as well? Thanks.

JamesH83 · Post by **JamesH83** » Mon Feb 28, 2005 2:28 pm

I was wondering if anyone had any references to literature regarding the use of copulas in FX markets?

James

Kutilya · Post by **Kutilya** » Mon Feb 28, 2005 5:25 pm

Thanks Jungle,

I got stuff for you too, I think you'll like it , will bring it along next time.

LaurenV29 · Post by **LaurenV29** » Mon Mar 07, 2005 4:03 am

Regarding those papers- i'm still looking around on my hard drive- there's one that my friend has a pending copyright with- sorry for the delay- i found one of the papers by a client and he said it was fine to release it- so email me if you want this one paper. I think it's on a website somewhere so i'll check around for that address

creditderivatives · Post by **creditderivatives** » Sat Mar 12, 2005 11:52 pm

Hi!

Do you know any methods for computing Turning Points for high frequency FX data? As you know, depending on the time interval and the size of the change chosen, the number of turning points observed by just looking at the charts is very different. What would be optimal for, say, one minute or five/ten minutes data? There is some literature w.r.t. business cycle, e.g. Markov-Switching VAR. Are you aware of any applications of these to high frequency FX? Any comment or suggestion is very welcome.

Thanks a lot.