Intra-Day Seasonality in Foreign Exchange Market Transactions

John Cotter and Kevin Dowd

Papers from arXiv.org

Abstract: This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing 2000-2 electronic inter-dealer broking system indicates significant evidence of intraday seasonality in returns and return volatilities under usual market conditions. Moreover, analysis of realised tail outcomes supports seasonality for extraordinary market conditions across the trading day.

Date: 2011-03
New Economics Papers: this item is included in nep-mst
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http://arxiv.org/pdf/1103.5664 Latest version (application/pdf)

Related works:
Journal Article: Intra-day seasonality in foreign exchange market transactions (2010)
Working Paper: Intra-Day Seasonality in Foreign Exchange Market Transactions (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1103.5664

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