  In spite of the considerable interest, a thorough statistical analysis of
foreign exchange markets was hampered by limited access to data. This changed,
and nowadays such data analyses are possible down to the level of ticks and
over long time scales. We analyze price response functions in the foreign
exchange market for different years and different time scales. Such response
functions provide quantitative information on the deviation from Markovian
behavior. The price response functions show an increase to a maximum followed
by a slow decrease as the time lag grows, in trade time scale and in physical
time scale, for all analyzed years. Furthermore, we use a price increment point
(pip) spread definition to group different foreign exchange pairs and analyze
the impact of the spread in the price response functions. We found that large
pip spreads have stronger impact on the response. This is similar to what has
been found in stock markets.
