A non-parametric valuation framework (ANN-MRS) using artificial neural networks for pricing financial derivatives has been developed whilst the volatility of underlying asset return dynamics are modelled by Markov regime switching model. Its immediate application is on pricing of the Chinese...

We introduce a new high-frequency foreign exchange dataset from EBS (Electronic Broking Service) that includes trading volume in the global interdealer spot market, data not previously available to researchers. The data also gives live transactable quotes, rather than the indicative quotes that...