  This paper examines the intra-day seasonality of transacted limit and market
orders in the DEM/USD foreign exchange market. Empirical analysis of completed
transactions data based on the Dealing 2000-2 electronic inter-dealer broking
system indicates significant evidence of intraday seasonality in returns and
return volatilities under usual market conditions. Moreover, analysis of
realised tail outcomes supports seasonality for extraordinary market conditions
across the trading day.
