There are no established benchmarks for evaluating currency investment manager performance. Some analysts have suggested that known investing styles like momentum, purchasing power parity, and carry serve as benchmarks. Challenges for this approach include: there is no market portfolio; there...

This paper examines the consequences of the 2015 reform on the London fixing in the interbank forex market, which resulted from finding and imposing a penalty on banks' collusive behavior around the fixing window. The banks changed their behavior after the reform, and the volume spike in the...

Using trader-resolved data, we document lead-lag relationships between groups of investors in the foreign exchange market. Because these relationships are systematic and persistent, order flow is predictable from trader-resolved order flow. We thus propose a generic method to exploit trader...

We devise a simple model of liquidity demand and supply to deepen the understanding of dealers’ liquidity provision in currency markets. Drawing on a globally representative data set on currency trading volumes, we show that at times when dealers' intermediation capacity is constrained the...