Trend-following market behaviour at the 4pm London time BFIX and WMR fixing windows

Carl Husselmann and Kristjan Kasikov

Quantitative Finance, 2020, vol. 20, issue 1, 1-8

Abstract: We investigate trend-following market behaviour around the 4pm London time BFIX and WMR fixing windows to reduce trading costs for trend and counter-trend flows

Date: 2020
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DOI: 10.1080/14697688.2019.1638154

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