ABSTRACT
The first to collect and archive high-frequency, intraday foreign exchange (FX) data from Reuters composite FXFX page were the researchers of the institute of Olsen andAssociates in Zürich, Switzerland (Müller et al., 1990; Dacorogna et al., 2001). This was quickly followed by the massive data archiving project under the directorship of Dr Würtz at the Eidgenössische Technische Hochschule (ETH: Federal Technical University) in Zürich, who collected high-frequency data from Reuters data selection feeds, mainly from RIC data records. His research group collected the series of quoted prices of 355 major financial instruments, including FX spot rates, forward rates, deposit rates, currency and deposit fixings, treasury market yields and FX cross rates at a rate of 60 megabytes per month. Financial futures, options and financial news subsequently followed.
