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Forex Trading and the WMR Fix

Martin Evans ()

MPRA Paper from University Library of Munich, Germany

Abstract: I examine the behavior of forex prices around the setting of the 4:00 pm WMR Fix. Numerous banks have been fined by regulators for their trading activities around the Fix, but the overall impact of their actions is not known. I first examine trading patterns around the Fix in a microstructure model of competitive trading. I then compare the model with the empirical behavior of forex prices across 21 currencies over a decade. Contrary to the predictions of the model, forex price changes display extraordinary volatility and negative serial correlation around the Fix.

Keywords: Forex Trading; Order Flows; Forex Price Fixes; Microstructure Trading Models (search for similar items in EconPapers)
JEL-codes: F30 F31 G1 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mst
Date: 2017-09-25, Revised 2017-09-25
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Related works:
Working Paper: Forex Trading and the WMR Fix (2014) Downloads
Working Paper: Forex Trading and the WMR Fix (2014) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:81583

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