## The Foreign Exchange Quoting Activity as an Informative Signal

# Figure

Figure 1: Time-of-the-day effect
This figure presents the time-of-day effect of each bank of the two samples. The figure shows the ratio of the
5-minute means over the day relative to the overall mean. BGFX, BHFX, RABO and SGOX are observed
from May 14 to September 10, 2001. BARL, DREF, OHVA, OKOH, SHKH and UBSZ are observed from
August 24 to October 26, 2001.

click to enlarge image

Figure 2: Correlogram of banks’ quoting and standardised residuals from DACP
models
This figure presents the correlogram of banks activity and of standardised residuals from DACP models. The
standardised residuals (Pearson residuals) are defined as The dashed line represents the
autocorrelations of the raw series, and the solid line the autocorrelations of the Pearson residual. The 95%
bounds of significance are also plotted.

click to enlarge image

Figure 3: Quantile plot of the Z statistic of individual banks
This figure presents the quantile plot of the Z statistic of individual banks. This statistic is defined as the
probability integral transform of the original data under the estimated density, in our case, the double Poisson:Z_{t}= F* ( N _{t, }µ_{t}) , see Appendix 2 for more details.

click to enlarge image

By Dr W. B. Omrane and A. Heinen

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