Olsen & Associates of Zurich, a small company devoted to research in applied economics, is making available to researchers some high frequency foreign exchange data they have collected. The dataset, called HFDF93, was originally made available for their "High Frequency Data in Finance" conference, to be held in March, 1995.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.
Bill Goffe <bgoffe@whale.st.usm.edu>