nep-mst New Economics Papers
on Market Microstructure
Issue of 2017‒10‒01
one paper chosen by
Thanos Verousis

  1. Forex Trading and the WMR Fix By Evans, Martin

  1. By: Evans, Martin
    Abstract: I examine the behavior of forex prices around the setting of the 4:00 pm WMR Fix. Numerous banks have been fined by regulators for their trading activities around the Fix, but the overall impact of their actions is not known. I first examine trading patterns around the Fix in a microstructure model of competitive trading. I then compare the model with the empirical behavior of forex prices across 21 currencies over a decade. Contrary to the predictions of the model, forex price changes display extraordinary volatility and negative serial correlation around the Fix.
    Keywords: Forex Trading, Order Flows, Forex Price Fixes, Microstructure Trading Models
    JEL: F30 F31 G1
    Date: 2017–09–25

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