Dominique M. Guillaume, Michel M. Dacorogna, Rakhal R. Davé, Ulrich A. Müller, Richard B. Olsen, Olivier V. Pictet. From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets. Finance and Stochastics, 1(2):95-129, 1997. [doi]
Abstract is missing.