Time zone normalization of FX seasonality

S. Masry, A. Dupuis, R. B. Olsen and E. Tsang

Quantitative Finance, 2013, vol. 13, issue 7, 1115-1123

Abstract: 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.

Date: 2013
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DOI: 10.1080/14697688.2013.773458

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