Olsen & Associates

"(O&A) is a world leader in high-quality economic research in the field of financial markets. In particular, O&A specializes in the forecasting and historical analysis of foreign exchange rates, but soon also interest rates and market indices. We also provide trading models which give explicit recommendations for a number of currencies and specific trading profiles. O&A's innovation and research has led to cutting-edge forecasting and trading model technology and risk management products.

"Over the past eight years with over 120 man-years of effort, O&A has developed and operated a real-time foreign exchange decision support system covering 84 currencies, 24 hours a day, 365 days a year. This is the O&A Information System (OIS). The fully supported system offers price and volatility forecasts, historical analysis, and specific trading recommendations with user-friendly graphical interfaces."

Some of their forecasts and analyses are available without paying a fee (though you must register). In addition, you can find just about any foreign exchange rate for a given day since January 1, 1990 (including, it seems, rates on the previous day). Obviously, this feature is very useful.

But, perhaps of greater interest to researchers is the high frequency exchange rate data they sell for a quite reasonable fee. The dataset, called HFDF93, was originally made available for their "High Frequency Data in Finance" conference, held March, 1995. Specifically, it has data from "1. Exchange rate quotes for USD-DEM, USD-JPY and DEM-JPY; 2. Three month maturity interbank deposit rate quotes for USD, JPY and DEM; and 3. Money Market Headline News (text)." The data spans the year from Oct. 1, 1992 to Sept. 30, 1993, is 112 megabytes in size, and they charge $200 for this dataset (which allows them to cover some of their costs). Data is available on tapes (DAT or 8mm Exabyte) or via ftp. They can be contacted at the address given below. When requesting the data, one should include a short abstract of the proposed work.

In addition, they have other data, and internal and published papers, that are publicly available.

Information: info@olsen.ch