Excerpt from High Frequency Data and Volatility, in Foreign Exchange RatesSince the consecutive prices are nonstationary, it is appropriate to study changes in prices. Like many other researchers, I prefer to study the compound return (which is defined as the difference in the logarithmic value of the bid prices). Table 2 shows the summary statistics of the tick-by-tick returns.About the PublisherForgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.comThis book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy.

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