  In this paper we test the random walk hypothesis on the high frequency
dataset of the bid--ask Deutschemark/US dollar exchange rate quotes registered
by the inter-bank Reuters network over the period October 1, 1992 to September
30, 1993. Then we propose a stochastic model for price variation which is able
to describe some important features of the exchange market behavior. Besides
the usual correlation analysis we have verified the validity of this model by
means of other approaches inspired by information theory . These techniques are
not only severe tests of the approximation but also evidence some aspects of
the data series which have a clear financial relevance.
