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.
We carry out a detailed large-scale data analysis of price response functions in the spot 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) bid-ask spread definition to group different foreign exchange pairs and analyze the impact of the spread in the price response functions. We find that large pip spreads have a stronger impact on the response. This is similar to what has been found in stock markets.
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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
We carry out a detailed large-scale data analysis of
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spot
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bid-ask
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found
find
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a