Monitoring the foreign exchange rate benchmark fix

Hossein Jahanshahloo and Charlie X. Cai

The European Journal of Finance, 2019, vol. 25, issue 7, 670-688

Abstract: We develop a Manipulation Index (ManIx) that captures the potential manipulation intention of dealers during the World Markets/Reuters (WMR) benchmark (London Close) period at 4 pm London time through a unique algorithm and simulation. The application of this model (using a dataset with dealers’ identities) can identify banks that are prone to potential manipulative behavior. The results concerning the identified banks are validated by the regulatory investigations. Implementation of this algorithm allows regulators better direct their limited resources towards more targeted in-depth investigation.

Date: 2019
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DOI: 10.1080/1351847X.2018.1518847

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