Detecting anomalous WM/reuters fixes using Trailing Contextual Anomaly Detection

Gbenga Ibikunle, Vito Mollica and Qiao Sun

International Review of Economics & Finance, 2024, vol. 96, issue PA

Abstract: We propose a Trailing Contextual Anomaly Detection (TCAD) model to detect abnormal movements in the WM/Reuters foreign exchange benchmark setting. By leveraging the high correlation levels among currencey pairs, we demonstrate that the TCAD model outperforms ARIMA, Jump Test, and CAD methods in detecting idiosyncratic cross-sectional anomalies. Additionally, we find that adjusting for intraday seasonality enhances the models' ability to predict on market close manipulation. Furthermore, we quantify and identify abnormal fix movements as high-impact events.

Keywords: Foreign exchange markets; Comovement; Anomalies in price; Market manipulation (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:96:y:2024:i:pa:s1059056024005045

DOI: 10.1016/j.iref.2024.103512

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