Let's be Honest, you heard about it from somebody or online and immediately thought "scam".
Let me give you an example - when you go on holiday to Spain.

We Know that Spanish currency is the Euro, therefore, you decide you want to exchange £1,000 UK sterling pound for X amount of Euro, you go to the post office or a bureau exchange desk and ask what can I get for £1,000 - the person states a figure the euro is worth at that time and that's how much you'll get in return. you have now just participated in the forex market as you swapped £1,000 for lets say 1,260 euro for example. 

 Major global banks dominate the foreign exchange (forex) market, acting as primary liquidity providers for corporate and institutional clients, with Citi, Barclays Bank, HSBC, JPMorgan Chase, UBS, and Deutsche Bank leading in global market share.

For'ex (foreign exchange or FX) is the global, decentralised marketplace for trading national currencies against one another. It is the largest and most liquid financial market in the world, with over $7.3 trillion in daily turnover.

Forex operates 24 hours a day, 5 days a week, with trading activity moving between major financial centres in London, New York, Tokyo, and Sydney