Time zone normalization of FX seasonality
<title>Abstract</title> This paper provides empirical evidence that the particular intra-day seasonality observed in the Foreign Exchange market is indeed due to the different geographical locations of its traders. Analysing more than 2 years of real transactions from a microscopic perspective, we design a procedure that accounts for the time zones from which traders operate. The resulting normalized intra-day seasonality shows a pattern akin to those observed in regulated exchanges where traders are more active at the beginning and at the end of their session.
Year of publication: |
2013
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Authors: | MASRY, S. ; DUPUIS, A. ; OLSEN, R. B. ; TSANG, E. |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 13.2013, 7, p. 1115-1123
|
Publisher: |
Taylor & Francis Journals |
Saved in:
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