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Introduction PART I: ANALYSIS OF FOREIGN EXCHANGE RATE The Foreign Exchange Market: A Random Walk with a Dragging Anchor Does the Forward Premium/Discount Help to Predict the Future Change in the Exchange Rate? Why Does the Spot-Forward Discount Fail to Predict Changes in Future Spot Rates? PART II: DESCRIPTION OF THE INTRA-DAY FOREIGN EXCHANGE MARKET 'Reuters' Screen Images of the Foreign Exchange Market: The Yen/Dollar and Sterling/Dollar Spot Market 'News' and the Foreign Exchange Market PART III: MEASUREMENT OF MARKET MOVEMENTS USING INTRA-DAY EXCHANGE RATE DATA From Hour to Hour in the Foreign Exchange Market Some Evidence on Daily Trading in the London Foreign Exchange Market Every Minute Counts in Financial Markets The Geographical Location of the Foreign Exchange Market: A Test of an 'Islands' Hypothesis News Effects in a High-frequency Model of the Sterling/Dollar Exchange Rate Central Bank Forex Intervention Assessed in Continuous Time Testing for Unit-roots with Very High-Frequency Spot Exchange Rate Data The Interaction Between the Frequency of Market Quotations, Spreads and Volatility in the Foreign Exchange Market PART IV: TECHNICAL ANALYSIS Chartism: A Controlled Experiment Do Technical Trading Rules Generate Profits? Evidence from the Intra-Day Foreign Exchange Market PART V: INTRA-DAY EXCHANGE RATE MOVEMENTS AND TRANSACTIONS DATA One Day in June 1993: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System Microstructural Dynamics in a Foreign Exchange Electronic Broking System PART VI: WHERE WE STAND High-Frequency Data in Financial Market: Issues and Applications Conclusions and Directions for Future Research Index

Trading Volume and Volatility Using High Frequency Data: Evidence ...

http://www.sogang.ac.kr/~cschung/left/chung_joo.pdf

AN INTRODUCTION TO HIGH-FREQUENCY FINANCE

http://fxtrade.oanda.com/resources/hffbookchapter1.pdf