Although the history of foreign exchange market is relatively short compared to the stock market, it has become the one of the most actively traded market for its24-hour trading operation. Global foreign exchange market turnover was20%higher in April2010than in April2007. The increase was driven by the48%growth in turnover of spot transactions. As regards counterparties, the higher global foreign exchange market turnover is associated with the increased trading activity of non-reporting banks, hedge funds, pension funds, mutual funds, insurance companies and central banks.Risk-aversed investors turned to strong currency such as dollars, yen, Swiss franc, Australian dollar. During the crisis, the trading amount related to AUD/USD increased by22%against the decline in that of Euro. Sustained economic growth, low debt ratio and a relatively high rate of return makesAustralian dollar the ad hoc to both the institutional and individual investors.This article mainly discusses about the behavior of AUD/USD, which is composed by three parts:Ⅰ. The statistical attributes of spot AUD/USD sequence and its stylized facts,Ⅱ. A jump-diffusion process with levy jumps constructed to depict "fat tail" phenomenon in AUD/USD and parameters of the model by the moment estimation method.Ⅲ. Non-parametric jump test based on the realized bipower variance is applied to5-minute high frequency sample of AUD/USD to subtract a jump sequence with arrival time and amplitude.The non-parametric jump test is powerful in detecting jumps, and the result is also a validation for the benefit of the introduction of jump process. |