BIS Papers
`No 12
`Market functioning and
`central bank policy
`
`Monetary and Economic Department
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`August 2002
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`GAIN CAPITAL - EXHIBIT 1017
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`Papers in this volume were prepared for the Autumn Central Bank Economists’ Meeting held at the
`Bank for International Settlements in October 2001. The views expressed are those of the authors and
`do not necessarily reflect the views of the BIS or the central banks represented at the meeting.
`Individual papers (or excerpts thereof) may be reproduced or translated with the authorisation of the
`authors concerned.
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`Requests for copies of publications, or for additions/changes to the mailing list, should be sent to:
`Bank for International Settlements
`Press & Communications
`CH-4002 Basel, Switzerland
`
`E-mail: publications@bis.org
`Fax: +41 61 280 9100 and +41 61 280 8100
`This publication is available on the BIS website (www.bis.org).
`
`
` ©
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` Bank for International Settlements 2002. All rights reserved.
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`ISSN 1609-0381
`ISBN 92-9131-636-9
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`Table of contents
`
`Foreword ..........................................................................................................................................
`
`iii
`
`List of meeting participants ...........................................................................................................
`
`v
`
`Developments driving changes in market functioning
`Changes in market functioning and central bank policy: an overview of the issues
`Marvin Barth, Eli Remolona and Philip Wooldridge ..........................................................................
`Implications of declining government debt for financial markets and monetary operations
`in Australia
`Malcolm Edey and Luci Ellis .............................................................................................................. 25
`The influence of structural changes on market functioning and its implications for
`monetary policy: a focus on the euro area
`Laurent Clerc, Françoise Drumetz and François Haas ..................................................................... 43
`Euro area government securities markets: recent developments and implications
`for market functioning
`Roberto Blanco .................................................................................................................................. 65
`
`1
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`Implications for market liquidity
`
`The effects of bank consolidation on risk capital allocation and market liquidity
`Chris D’Souza and Alexandra Lai ..................................................................................................... 86
`How resilient are financial markets to stress? Bund futures and bonds during the
`1998 turbulence
`Christian Upper and Thomas Werner ............................................................................................... 110
`Electronic trading in Hong Kong and its impact on market functioning
`Guorong Jiang, Nancy Tang and Eve Law ....................................................................................... 124
`Foreign exchange markets in the 1990s: intraday market volatility and the growth of
`electronic trading
`Alain Chaboud and Steven Weinberg ............................................................................................... 138
`Positive feedback trading under stress: evidence from the US Treasury securities market
`Benjamin Cohen and Hyun Song Shin .............................................................................................. 148
`
`Implications for asset pricing
`
`The determinants of credit spread changes in the euro area
`Michael Boss and Martin Scheicher .................................................................................................. 181
`Measuring capital market integration
`Marina Emiris ..................................................................................................................................... 200
`Interactions between cash and derivatives bond markets: some evidence for the euro area
`Wolfgang Schulte and Roberto Violi ................................................................................................. 222
`Monetary policy signalling and movements in the Swedish term structure of interest rates
`Malin Andersson, Hans Dillén and Peter Sellin ................................................................................. 268
`The information content of the yield curve
`Hans-Jürg Büttler .............................................................................................................................. 298
`What central banks can learn about default risk from credit markets
`Ian Marsh ........................................................................................................................................... 329
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`The changing information content of market interest rates
`Vincent Reinhart and Brian Sack ....................................................................................................... 340
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`Implications for central bank policy
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`Inflation targeting in Brazil: shocks, backward-looking prices and IMF conditionality
`Joel Bogdanski, Paulo Springer de Freitas, Ilan Goldfajn and Alexandre Tombini ........................... 358
`Market liquidity and the role of public policy
`Arnaud Marès .................................................................................................................................... 385
`The monetary policy decisions of the ECB and the money market
`Vítor Gaspar, Gabriel Perez-Quirós and Jorge Sicilia ....................................................................... 402
`Recent changes in fixed income markets and their impact on reserve management
`by the Netherlands Bank
`Ad Visser ........................................................................................................................................... 412
`Bank of England open market operations: the introduction of a deposit facility for counterparties
`William Allen ...................................................................................................................................... 427
`The monetary transmission mechanism in the United States: some answers and further questions
`Kenneth Kuttner and Patricia Mosser ................................................................................................ 433
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`Foreword
`
`The papers in this volume were presented and discussed at the Autumn Central Bank Economists’
`Meeting held at the BIS on 15-16 October 2001. The meeting focused on recent changes in market
`functioning and their impact on central bank policy. A number of structural developments seem to have
`had a significant influence on the functioning of financial markets. The most important of these
`developments are the introduction of the euro, the spread of electronic trading, changes in the
`constellation and behaviour of market participants and falling supplies of government debt. There is
`some evidence that such structural changes resulted in shifts in liquidity among different market
`segments and, moreover, that liquidity is less robust than in the past. The process of price formation
`and the information conveyed by prices also appears to have been affected. This poses various
`challenges for central bank policy, including how best to gauge market expectations and conduct
`monetary policy operations.
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`List of meeting participants
`
`Reserve Bank of Australia
`Austrian National Bank
`
`National Bank of Belgium
`
`Central Bank of Brazil
`Bank of Canada
`
`European Central Bank
`
`Bank of France
`
`Deutsche Bundesbank
`
`Luci Ellis
`Michael Boss
`Martin Scheicher
`Michel Dombrecht
`Marina Emiris
`Joel Bogdanski
`Alexandra Lai
`Ron Parker
`Arnaud Marès
`Jorge Sicilia
`Françoise Drumetz
`François Haas
`Christian Upper
`Thomas Werner
`Stefan Gerlach
`Guorong Jiang
`Aviram Levy
`Roberto Violi
`Hiroshi Nakaso
`Ad Visser
`Peter Vlaar
`Juan Ayuso
`Roberto Blanco
`Hans Dillén
`Hans-Jürg Büttler
`Thomas Jordan
`Bill Allen
`Ian Marsh
`Alain Chaboud
`Brian Sack
`Bank for International Settlements William White (Chairman)
`Renato Filosa
`Claudio Borio
`Eli Remolona
`Marvin Barth
`Benjamin Cohen
`Philip Wooldridge
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`Hong Kong Monetary Authority
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`Bank of Italy
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`Bank of Japan
`Netherlands Bank
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`Bank of Spain
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`Sveriges Riksbank
`Swiss National Bank
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`Bank of England
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`Federal Reserve System
`
`ellisl@rba.gov.au
`michael.boss@oenb.co.at
`martin.scheicher@oenb.co.at
`michel.dombrecht@nbb.be
`marina.emiris@nbb.be
`joel.bogdanski@bcb.gov.br
`laia@bankofcanada.ca
`rparker@bank-banque-canada.ca
`arnaud.mares@ecb.int
`jorge.sicilia@ecb.int
`francoise.drumetz@banque-france.fr
`francois.haas@banque-france.fr
`christian.upper@bundesbank.de
`thomas.werner@bundesbank.de
`stefan_gerlach@hkma.gov.hk
`guorong_jiang@hkma.gov.hk
`levy.aviram@insedia.interbusiness.it
`violi.roberto@insedia.interbusiness.it
`hiroshi.nakaso@boj.or.jp
`a.visser@dnb.nl
`p.j.g.vlaar@dnb.nl
`ayuso@bde.es
`rblanco@bde.es
`hans.dillen@riksbank.se
`hans-juerg.buettler@snb.ch
`thomas.jordan@snb.ch
`bill.allen@bankofengland.co.uk
`ian.marsh@bankofengland.co.uk
`alain.p.chaboud@frb.gov
`brian.p.sack@frb.gov
`william.white@bis.org
`renato.filosa@bis.org
`claudio.borio@bis.org
`eli.remolona@bis.org
`marvin.barth@bis.org
`bcohen@imf.org
`philip.wooldridge@bis.org
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`BIS Papers No 12
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`Foreign exchange markets in the 1990s:
`intraday market volatility and the
`growth of electronic trading
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`Alain Chaboud and Steven Weinberg,0F1
`
`Board of Governors of the Federal Reserve System
`
`Abstract
`
`Foreign exchange markets experienced broad structural changes in the 1990s, including the gradual
`introduction of electronic trading platforms, which now process the majority of inter-dealer spot
`transactions. The changes have raised concerns that liquidity in foreign exchange markets may have
`deteriorated over time. We briefly survey the growth of electronic trading in foreign exchange markets
`over the decade, and discuss why it may have affected market liquidity and volatility. Using
`high-frequency data, we then examine several measures of foreign exchange market volatility from the
`period 1987 to 2001. We consider the evolution of variance ratios over time to examine whether
`intraday volatility has changed relative to daily volatility, and study the incidence of large intraday
`movements, a possible indicator of reduced liquidity. We find no evidence of a substantial change over
`time in the level of volatility or in the frequency of large movements in foreign exchange markets.
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`1.
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`Introduction
`
`The foreign exchange market has undergone several important structural changes in the past decade.
`At a macro level, the number of major participants in inter-dealer markets decreased considerably due
`to numerous mergers and acquisitions, particularly in the latter half of the decade, and the introduction
`of the euro in 1999 eliminated many trades. At the micro level, extensive changes in trading
`technology were evident. The adoption of electronic trading methods for inter-dealer transactions in
`the major currency pairs, though gradual, became widespread, particularly relative to fixed income and
`equity markets. The structure of foreign exchange markets at the beginning of this decade is therefore
`very different from that at the beginning of the 1990s.
`These changes in the structure of foreign exchange markets have raised concerns about a possible
`decrease in market liquidity and an increase in market volatility in the past few years. In particular,
`some market analysts have voiced fears that a reported drop in the number of market-makers and in
`the total amount of capital dedicated to market-making may have had negative effects on the depth of
`foreign exchange markets. The increased presence of electronic trading is thought to be one of the
`factors contributing to this reported decrease in market-making activity. In this note, we first briefly
`review the growth of electronic trading in FX markets in the past few years and discuss how it may
`have affected the provision of market-making services. Using intraday high-frequency data from the
`period 1987 to 2001, we then study the evolution over time of several measures of volatility in the
`dollar-yen and dollar-mark (and euro-dollar) markets. We also examine the frequency of large
`exchange rate movements, a possible indicator of reduced liquidity.
`
`
`1 The views in this note are solely the responsibility of the authors and should not be interpreted as reflecting the views of the
`Board of Governors of the Federal Reserve System or of any other person associated with the Federal Reserve System.
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`2.
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`A very brief history of electronic trading in foreign exchange
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`The earliest ventures into electronic trading in foreign exchange markets were clearly just a better
`telephone. Reuters launched its Monitor Dealing Service in the early 1980s, and replaced it with
`Reuters Dealing 2000-1 in 1989. These early systems allowed communications between two foreign
`exchange dealers on the initiative of one of the counterparties, but did not perform the more complex
`matching function between a number of potential counterparties traditionally done by voice brokers.
`This changed in April 1992, when Reuters launched Dealing 2000-2, a true electronic broking system,
`automatically matching buy and sell quotes from ex ante anonymous (but pre-screened) dealers. The
`Minex Corporation, largely owned by Japanese foreign exchange brokers and banks, set up its own
`automated foreign exchange broking system in April 1993. Finally, in September 1993, EBS
`(Electronic Broking Service), formed by a group of large dealing banks which had pulled out of early
`tests of Reuters Dealing 2000-2, launched its trading system. Minex transferred its business rights to
`EBS in 1996, leaving us in 2001 with two major inter-dealer electronic broking systems, Reuters
`(now 3000) and EBS. Over time, each of the systems has gained an almost completely monopolistic
`role in the inter-dealer market for given currency pairs, with EBS dominant in dollar-yen and
`euro-dollar, and Reuters dominant in transactions involving sterling and emerging market currencies.
`For inter-dealer transactions, these systems, first introduced in the early 1990s, had become the
`primary trading vehicles by the end of the 1990s. For customer-to-dealer transactions, however, the
`emergence of electronic trading has so far been much less widespread. Many financial institutions
`attempted late in the 1990s to launch single-dealer electronic trading platforms allowing them to
`transact foreign exchange electronically with their own customers. These platforms received little
`acceptance as customers appeared to value highly the ability to receive simultaneous quotes from
`several potential counterparties. A new generation of multidealer platforms is now being introduced, in
`part spurred by the success of Currenex, a reverse auction matching service developed independently
`of the banking community, which was launched in April 2000. Two large groups of banks have since
`launched their own multidealer trading platforms, Atriax and Fxall.
`Because of the decentralised over-the-counter nature of foreign exchange markets, the exact share of
`global foreign exchange trading volume conducted through these electronic broking services is not
`easy to determine precisely. An estimate of the share of inter-dealer trading volume executed through
`electronic platforms puts the share at less than 5% in 1992, a bit more than 10% in 1995, about 40%
`in 1998, and about 60% in 2001. These data probably understate the true importance of electronic
`broking in these markets. First, the share of the number of transactions conducted through e-brokers
`is likely to be higher than the share of trading volume, as large transactions tend more often not to be
`conducted electronically, using instead direct personal contact between counterparties. And second,
`with most inter-dealer transactions routed through electronic brokers, this is clearly where the process
`of price discovery occurs. As far as customer-to-dealer transactions are concerned, it is generally
`thought that at present (2001) no more than 10% of these transactions are conducted through
`electronic platforms.
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`3.
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`Electronic trading, market structure, liquidity and volatility
`
`It is not immediately obvious that the adoption of electronic trading venues should necessarily have
`affected the liquidity and volatility of foreign exchange markets. The modern electronic trading
`platforms are, after all, simply a replacement for a system of telephones and voice brokers. They
`perform essentially the same functions, receiving large amounts of data from buyers and sellers, and
`arranging feasible matches. Most voice brokers have been forced into retirement since the mid-1990s,
`reportedly in great part due to the cost advantage of the electronic systems. There is little doubt,
`however, that the process of price discovery and the way the current price is disseminated among
`dealers and to the public have changed substantially with the spread of electronic trading. There is
`clearly much more price transparency now than in the days before electronic broking, in the sense
`that: (1) through centralisation there is greater clarity and precision of price; (2) most dealers have
`instant access to current prices; and (3) customers can also gain real-time access to these prices
`much more easily.
`In the past, when the foreign exchange market was a conglomeration of two-way phone or e-mail
`conversations and of a number of voice brokers, the true market price was likely to be a bit fuzzy,
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`potentially differing from dealer to dealer. In order to be continuously informed about the price, dealers
`tended to execute small trades regularly throughout the trading session, not just to look for profit
`opportunities, but also to attempt to gather information about the current price. Today, with price
`discovery automated and centralised, the over-the-counter foreign exchange market has taken on
`some of the characteristics of an exchange, including the existence of a widely broadcast single price
`at any one moment. In 2001, any dealing room with an EBS terminal instantly knows the current dollar
`price of the euro and yen, certainly for trades of the size typically dealt through EBS. As a
`consequence, the amount of trading activity designed primarily to gather information has greatly
`diminished. This new clarity and transparency of the price are very probably one of the factors
`explaining the dramatic drop in inter-dealer spot trading volume reported in the latest Triennial Central
`Bank Survey.
`
`Table 1
`Reported global daily FX trading volume
`(USD billions)
`
`Year
`
`Total volume
`With other dealers
`With other financials
`With non-financials
`
`1992
`
`394
`282
`47
`65
`
`1995
`
`494
`325
`94
`75
`
`1998
`
`568
`348
`121
`99
`
`2001
`
`387
`218
`111
`58
`
`So, what could be the effects on the market of this increased clarity and access to price? On the one
`hand, the increased transparency could make it easier for new dealers to enter the trading arena, as
`the costs and the critical mass (of traders, analysts, market contacts, etc) required to run a foreign
`exchange operation with a reasonable chance of success have probably decreased. On the other
`hand, for the players who had previously established an information advantage, there may now be
`incentives to reduce their presence in the market, as the returns on their information gathering may not
`be as large as in the past. So, in theory at least, within the inter-dealer community, as these two forces
`compete, the net effect on the amount of market-making activity is uncertain.
`The effect of the increased price clarity and transparency on the relationship between dealers and
`customers appears to be less ambiguous. The recent failures of many of the single-dealer dealer
`electronic platforms dedicated to dealer-to-customer trading testify to the increased price competition
`this has brought to the industry. Even before the actual birth of these business-to-consumer sites, the
`increased clarity in price at a given moment, combined with better information technology, made
`performing price comparisons much easier for customers. When these customers were first given
`instantaneous access to price information through single-dealer electronic platforms, they very quickly
`began to require simultaneous access to many price sources. The result has been a clear increase in
`price competition, and the market power of the industry as a whole over its customers appears to have
`eroded greatly. It is therefore generally believed that, in great part due to this increase in price
`transparency, industry profits from FX trading as a whole have declined on net in the last few years. It
`is also widely believed that, in part as a result of the scenario just described, the overall amount of
`capital assigned to market-making has fallen, as has the amount of proprietary trading done by
`dealers.
`Due to the nature of the foreign exchange business, there is, however, no more than anecdotal
`evidence to back these “beliefs”. And it is, of course, impossible to untangle how much of this may be
`due primarily to the rise of electronic trading, and how much may be due to other structural changes in
`the industry, in particular the numerous mergers. Still, there are concerns among some market
`participants that these changes will soon adversely affect liquidity and volatility in foreign exchange
`markets if they have not done so already. The analysis in the next section attempts to uncover
`whether or not these concerns are currently warranted.
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`4.
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`Data and analysis
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`We use intraday exchange rate data on dollar-yen and dollar-mark exchange rates (euro-dollar after
`1999) covering the period from January 1987 to September 2001. The data, collected by Olsen and
`Associates, are based on Reuters indicative quotes, which have been shown to be an accurate source
`of high-frequency price data (but a poor source of bid-offer spread and transaction volume data).
`Using the midpoint of the bid and offer rates of the data, we construct time series of log differences of
`the exchange rates at 24-hour (at 21:00 GMT), 15-minute and five-minute intervals.
`From these series of log differences, we compute three measures of volatility. The first is a standard
`measure of volatility based on squared daily returns. The second and third are “integrated volatility”
`measures based, respectively, on squared 15-minute and squared five-minute returns. Our volatility
`measures are not demeaned, and we express both as annualised standard deviations. We also
`calculate the ratios of the daily volatility to each of the integrated volatilities, presented in the
`right-hand columns. These variance ratios would be expected to be equal to exactly one if exchange
`rates behaved precisely as standard random walks. Values below one indicate a higher level of
`intraday price movement relative to the daily exchange rate movement, in other words the presence of
`mean reversion at higher frequencies than day-to-day. Table 2 presents these data per year for
`dollar-mark and euro-dollar, and Table 3 displays the data for dollar-yen. The mean value of each
`statistic and its standard deviation are presented in the last two rows of each table.
`
`Table 2
`DEM: annualised volatility and variance ratios
`
`1 day
`
`0.1165
`0.1098
`0.1202
`0.1028
`0.1388
`0.1401
`0.1093
`0.0954
`0.1297
`0.0704
`0.1018
`0.0903
`0.0971
`0.1233
`0.1101
`
`0.1103
`0.0187
`
`15 min
`
`0.1089
`0.0959
`0.1153
`0.1053
`0.1298
`0.1446
`0.1086
`0.0964
`0.1308
`0.0755
`0.0997
`0.0994
`0.1055
`0.1363
`0.1088
`
`0.1107
`0.0181
`
`5 min
`
`0.1090
`0.0955
`0.1155
`0.1094
`0.1340
`0.1503
`0.1153
`0.0994
`0.1324
`0.0814
`0.1013
`0.1011
`0.1107
`0.1405
`0.1145
`
`0.1140
`0.0184
`
`1d/15min
`
`1d/5min
`
`1.0700
`1.1451
`1.0422
`0.9763
`1.0698
`0.9694
`1.0065
`0.9900
`0.9915
`0.9325
`1.0219
`0.9082
`0.9206
`0.9045
`1.0123
`
`0.9690
`0.0672
`
`1.0684
`1.1501
`1.0405
`0.9393
`1.0363
`0.9324
`0.9478
`0.9597
`0.9797
`0.8649
`1.0049
`0.8932
`0.8778
`0.8777
`0.9620
`
`0.9708
`0.0800
`
`
`
`1987
`1988
`1989
`1990
`1991
`1992
`1993
`1994
`1995
`1996
`1997
`1998
`1999
`2000
`2001
`
`mean
`sd
`
`Though daily volatility has varied substantially from year to year in both currencies, we see neither a
`clear trend over time nor an outsized movement in the last few years. Recent annual readings of daily
`volatility are, in fact, generally statistically close to the mean. It would also be difficult to find much of a
`trend in integrated volatility at 15- and five-minute intervals over the period in either of the currencies.
`Readings for 2001, for instance, are at or below their mean level over the sample period. The data
`therefore do not indicate that a wholesale change in market volatility, either daily or intraday, has
`occurred since the introduction of electronic trading. A look at the evolution of the two variance ratios
`over time in both tables also shows little substantial change. The two ratios remain close to one
`throughout the sample, though a bit more often below one than above. Recent values are either above
`their mean in our sample years, or statistically indistinguishable. If variance ratios had decreased in
`the later years, that would have been consistent with the story of a reduced presence of
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`market-makers as electronic trading became widespread. In theory, one would then have expected
`customer trades to move the price more easily initially, only to be later reversed, yielding an increased
`short-term volatility not matched by larger movements in daily returns (a nice story, but clearly not in
`the data).
`
`Table 3
`JPY: annualised volatility and variance ratios
`
`1 day
`
`0.1203
`0.1118
`0.1193
`0.1189
`0.1035
`0.0929
`0.1196
`0.1045
`0.1464
`0.0759
`0.1275
`0.1687
`0.1339
`0.0982
`0.0984
`
`0.1159
`0.0228
`
`15 min
`
`0.1057
`0.0985
`0.1103
`0.1136
`0.1039
`0.0971
`0.1223
`0.1116
`0.1499
`0.0886
`0.1279
`0.1825
`0.1447
`0.1056
`0.0965
`
`0.1172
`0.0250
`
`5 min
`
`0.1067
`0.1001
`0.1130
`0.1191
`0.1108
`0.1036
`0.1296
`0.1187
`0.1556
`0.0967
`0.1322
`0.1798
`0.1467
`0.1081
`0.0995
`
`0.1213
`0.0236
`
`1d/15min
`
`1d/5min
`
`1.1385
`1.1360
`1.0813
`1.0463
`0.9968
`0.9573
`0.9778
`0.9358
`0.9765
`0.8565
`0.9970
`0.9241
`0.9251
`0.9301
`1.0191
`
`0.9581
`0.0801
`
`1.1276
`1.1178
`1.0558
`0.9976
`0.9345
`0.8975
`0.9229
`0.8797
`0.9410
`0.7842
`0.9645
`0.9379
`0.9125
`0.9085
`0.989
`
`0.96388
`0.0900
`
`
`
`1987
`1988
`1989
`1990
`1991
`1992
`1993
`1994
`1995
`1996
`1997
`1998
`1999
`2000
`2001
`
`mean
`sd
`
`Next we briefly examine the frequency of large intraday movements at five and 15-minute intervals
`over the sample period. A reduced presence of market-makers in foreign exchange markets would be
`consistent with an increase in the frequency of “gapping”, sudden large movements in the price often
`interpreted as a sign of reduced market liquidity. We study the presence of gapping in these two
`markets by measuring, for each year in our sample, the frequency of movements of a given size
`relative to the volatility based on daily returns. Tables 4 and 5 show, by year, the frequency of absolute
`five-minute price movements within certain ranges, in units of standard deviations (expected standard
`deviations of five-minute movements based on yearly levels of volatility calculated from squared daily
`returns). The first column shows the frequency of absolute five-minute movements up to one standard
`deviation, the second between one and two standard deviations, and so forth. The rightmost column
`2 Tables 6 and 7 display similar
`shows the frequency of movements exceeding six standard deviations.1F
`results for 15-minute intervals. The last two rows of each table show the mean and standard deviation
`of each column.
`
`
`2 For reference, a one-standard deviation five-minute movement in a year with a daily volatility near 0.12 (about average)
`represents about a 0.05% move in the exchange rate (so a 6σ move is about 0.3%). For 15-minute movements, a 6σ move
`is about 0.5%.
`
`142
`
`
`
`BIS Papers No 12
`
`

`

`Table 4
`DEM: distribution of five-minute movements
`
`σ
`Year
`
`0-1
`
`1-2
`
`2-3
`
`3-4
`
`4-5
`
`5-6
`
`6+
`
`
`
`
`
`
`
`
`
`
`
`
`
`
`
`1987
`1988
`1989
`1990
`1991
`1992
`1993
`1994
`1995
`1996
`1997
`1998
`1999
`2000
`2001
`
`mean
`sd
`
`
`
`σ
`Year
`
`1987
`1988
`1989
`1990
`1991
`1992
`1993
`1994
`1995
`1996
`1997
`1998
`1999
`2000
`2001
`
`mean
`sd
`
`
`
`0.8347
`0.8516
`0.8191
`0.7770
`0.8225
`0.8041
`0.7850
`0.8057
`0.8180
`0.7387
`0.7916
`0.7591
`0.7466
`0.7740
`0.7756
`
`0.7936
`0.0326
`
`0-1
`
`
`0.8449
`0.8508
`0.8222
`0.8064
`0.7824
`0.7586
`0.7773
`0.7605
`0.7947
`0.7006
`0.7971
`0.8034
`0.7827
`0.7660
`0.7830
`
`0.7887
`0.0382
`
`0.1261
`0.1176
`0.1383
`0.1652
`0.1357
`0.1460
`0.1611
`0.1463
`0.1352
`0.1938
`0.1615
`0.1769
`0.1853
`0.1641
`0.1662
`
`0.1546
`0.0219
`
`0.0266
`0.0221
`0.0299
`0.0400
`0.0283
`0.0336
`0.0370
`0.0316
`0.0303
`0.0459
`0.0335
`0.0441
`0.0465
`0.0413
`0.0403
`
`0.0354
`0.0074
`
`0.0077
`0.0052
`0.0075
`0.0113
`0.0083
`0.0091
`0.0108
`0.0092
`0.0094
`0.0134
`0.0084
`0.0115
`0.0134
`0.0118
`0.0112
`
`0.0099
`0.0023
`
`0.0025
`0.0018
`0.0028
`0.0037
`0.0025
`0.0033
`0.0032
`0.0034
`0.0036
`0.0044
`0.0027
`0.0046
`0.0044
`0.0049
`0.0038
`
`0.0034
`0.0009
`
`Table 5
`JPY: distribution of five-minute movements
`
`1-2
`
`
`0.1203
`0.1158
`0.1352
`0.1440
`0.1633
`0.1784
`0.1641
`0.1764
`0.1510
`0.2098
`0.1535
`0.1460
`0.1613
`0.1741
`0.1663
`
`0.1573
`0.0246
`
`2-3
`
`
`0.0242
`0.0219
`0.0291
`0.0341
`0.0368
`0.0424
`0.0394
`0.0413
`0.0363
`0.0596
`0.0335
`0.0331
`0.0367
`0.0409
`0.0352
`
`0.0363
`0.0091
`
`3-4
`
`
`0.0064
`0.0069
`0.0088
`0.0098
`0.0105
`0.0132
`0.0110
`0.0128
`0.0104
`0.0176
`0.0094
`0.0102
`0.0112
`0.0115
`0.0098
`
`0.0106
`0.0028
`
`4-5
`
`
`0.0024
`0.0024
`0.0024
`0.0031
`0.0035
`0.0039
`0.0044
`0.0046
`0.0040
`0.0065
`0.0038
`0.0036
`0.0041
`0.0040
`0.0030
`
`0.0037
`0.0011
`
`0.0012
`0.0006
`0.0012
`0.0013
`0.0010
`0.0017
`0.0011
`0.0015
`0.0014
`0.0019
`0.0010
`0.0018
`0.0018
`0.0021
`0.0013
`
`0.0014
`0.0004
`
`5-6
`
`
`0.0007
`0.0011
`0.0011
`0.0012
`0.0018
`0.0017
`0.0018
`0.0020
`0.0018
`0.0030
`0.0013
`0.0013
`0.0018
`0.0016
`0.0014
`
`0.0016
`0.0006
`
`0.0012
`0.0010
`0.0013
`0.0015
`0.0016
`0.0023
`0.0018
`0.0023
`0.0022
`0.0019
`0.0013
`0.0020
`0.0020
`0.0019
`0.0016
`
`0.0017
`0.0004
`
`6+
`
`
`0.0010
`0.0012
`0.0013
`0.0014
`0.0015
`0.0017
`0.0020
`0.0025
`0.0018
`0.0028
`0.0015
`0.0024
`0.0022
`0.0019
`0.0014
`
`0.0018
`0.0005
`
`BIS Papers No 12
`
`
`
`143
`
`

`

`Table 6
`DEM: distribution of 15-minute movements
`
`1-2
`
`
`0.1168
`0.1065
`0.1312
`0.1586
`0.1323
`0.1372
`0.1501
`0.1357
`0.1316
`0.1741
`0.1604
`0.1753
`0.1707
`0.1555
`0.1523
`
`0.1459
`0.0207
`
`2-3
`
`
`0.0253
`0.0195
`0.0281
`0.0360
`0.0277
`0.0313
`0.0319
`0.0281
`0.0288
`0.0395
`0.0316
`0.0408
`0.0402
`0.0375
`0.0369
`
`0.0322
`0.0062
`
`3-4
`
`
`0.0076
`0.0051
`0.0077
`0.0104
`0.0069
`0.0092
`0.0091
`0.0097
`0.0088
`0.0100
`0.0083
`0.0121
`0.0104
`0.0128
`0.0097
`
`0.0092
`0.0020
`
`4-5
`
`
`0.0027
`0.0018
`0.0031
`0.0034
`0.0028
`0.0039
`0.0030
`0.0029
`0.0035
`0.0040
`0.0029
`0.0040
`0.0043
`0.0045
`0.0036
`
`0.0034
`0.0007
`
`Table 7
`JPY: distribution of 15-minute movements
`
`1-2
`
`
`0.1169
`0.1085
`0.1310
`0.1475
`0.1520
`0.1577
`0.1533
`0.1570
`0.1501
`0.1986
`0.1578
`0.1556
`0.1587
`0.1689
`0.1632
`
`0.1518
`0.0218
`
`2-3
`
`
`0.0222
`0.0212
`0.0260
`0.0309
`0.0328
`0.0361
`0.0354
`0.0363
`0.0334
`0.0497
`0.0300
`0.0337
`0.0361
`0.0385
`0.0337
`
`0.0331
`0.0071
`
`3-4
`
`
`0.0059
`0.0051
`0.0075
`0.0081
`0.0096
`0.0109
`0.0093
`0.0110
`0.0091
`0.0143
`0.0082
`0.0100
`0.0100
`0.0101
`0.0102
`
`0.0093
`0.0023
`
`4-5
`
`
`0.0018
`0.0023
`0.0030
`0.0030
`0.0032
`0.0032
`0.0029
`0.0044
`0.0033
`0.0046
`0.0033
`0.0035
`0.0037
`0.0041
`0.0024
`
`0.0032
`0.0008
`
`5-6
`
`
`0.0009
`0.0007
`0.0009
`0.0013
`0.0010
`0.0011
`0.0012
`0.0013
`0.0020
`0.0014
`0.0006
`0.0014
`0.0014
`0.0017
`0.0009
`
`0.0012
`0.0004
`
`5-6
`
`
`0.0010
`0.0010
`0.0007
`0.0007
`0.0009
`0.0015
`0.0014
`0.0014
`0.0015
`0.0019
`0.0013
`0.0013
`0.0018
`0.0018
`0.0014
`
`0.0013
`0.0004
`
`0-1
`
`
`0.8450
`0.8649
`0.8276
`0.7890
`0.8280
`0.8153
`0.8033
`0.8203
`0.8233
`0.7