Forex trading and the wmr fix

Forex Trading and the WMR Fix.

This paper undertakes a detailed empirical analysis of the how forex rates behave around the Fix drawing on a decade of tick-by-tick data for 21 currency pairs. The analysis reveals that the behavior of spot rates in the minutes immediately before and after 4: Pre- and post-Fix changes in spot rates are extraordinarily volatile and exhibit strong forex trading and the wmr fix serial correlation, particularly on the last trading day of each month.

Forex Trendy - Best Trend Scanner

These statistical features appear pervasive, they are present across all 21 gold forex live pairs throughout the decade.

However, they are also inconsistent with the predictions of existing microstructure models of competitive forex trading.

Bowman, Adrian W and Adelchi Azzalini. Applied Smoothing Techniques for Data Analysis: The Kernel Approach with S-Plus Illustrations: The Kernel Approach with S-Plus Illustrations.

Princeton Series in International Finance. Melvin, Michael and John Prins. Home Browse Search FAQ About Help.

All papers reproduced by permission. Reproduction and distribution subject to the approval of the copyright owners. MPRA is a RePEc service hosted by the Munich University Library in Germany.

There is a more recent version of this item available.