This study is supported by two high-frequency datasets from Olsen Ltd.

Olsen Ltd is a research- driven organization that contributes to the public understanding in the FX market. OANDA provides Olsen Ltd with HF market historical data. The aim is to conducts a number of researches that can contribute significantly to the finance area. OANDA Ltd, short for “Olsen And Associates,” is an online trading platform for the trading of foreign currencies. OANDA is considered to be the largest online trading platform in terms of trading volume and high liquidity. OANDA offers a unique feature in that it is the only platform that stores the individual traders’ transactions details and their position history over long time horizons representing the worldwide exposure of traders in the FX market.

5.1.