An explanation for the compass rose pattern

Authors
Gleason, KC Lee, CI Mathur, I
Citation
Kc. Gleason et al., An explanation for the compass rose pattern, ECON LETT, 68(2), 2000, pp. 127-133
Citations number
7
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
68
Issue
2
Year of publication
2000
Pages
127 - 133
Database
ISI
SICI code
0165-1765(200008)68:2<127:AEFTCR>2.0.ZU;2-Q
Abstract
The compass rose pattern cannot be observed in daily returns in the spot fo reign exchange (forex) market, but is observable when intraday forex return s are used. Monte Carlo simulations show that the pattern is visible only w hen the tick/volatility ratio is above some threshold level, a condition th at is readily met with intraday returns. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification: C22; F31; G15.