Intra-daily dynamics of dollar-sterling exchange market

Abstract

This report describes the results of an initial exercise to explore the stylized facts of the dynamic properties of exchange rates employing a behavioral finance framework and high-frequency, second-scale, data. It uses a heterogeneous agent model, where chartist and fundamentalist traders coexist, in order to offer insights on their intra-daily movements and responses, to different market states. We find significant variations between the variables used to describe the agent's behavior in daily scales and that of intra-daily scales. The evolutionary stability of the otherwise irrational chartist behavior is demonstrated