HFDF - High Frequency Data in Finance
Olsen Financial Technologies (Zürich) HFDF data are comprised of two sets of intra-day foreign exchange trading observations:
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HFDF 1994-2004 intra-day trading data for the EUR vs. USD, JPY & GBP, from 1 October 1994 to 30 September 2004. (Pre-1999 data is denominated in Deutschmarks, ie: DEM vs. USD, JPY & GBP)
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HFDF 1992-1993, from 1 Oct. 1992 to 30 Sept. 1993.
Included with the data are FX rate quotes for USD-DEM; USD-JPY; and the cross rate for DEM-JPY, as well as 3-month maturity inter-bank deposit rates for USD, DEM and JPY.
Each record includes the time of Olsen Financial's observation, a bid quote, an ask quote, a validity flag and the name and location of the reporting bank or institution.
The HFDF '92/'93 data set was originally made public to encourage a broad range of research investigations in March 1995 during the First International Conference on HFDF in Zürich.
HFDF 1994-2004
HFDF 1992-1993
Further details are available at the Olsen Financial Technologies site.
An Introduction to High-frequency Finance by Michel Dacorogna is available at 330.015195 DAC in the Badia Library.
Access to this data is restricted to current EUI members who have completed the registration procedure, as follows:
Contact: Thomas Bourke at econlibrary@eui.eu